Financial Innovation

Table 6 Fixed-effects panel quantile regression results

From: Investor sentiments and stock markets during the COVID-19 pandemic

Dependent variable: CAR			Quantiles
	Location	Scale	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9
Panel A
Constant	0.873	2.407**	− 2.982	− 1.610	− 0.740	0.060	0.849	1.648	2.305*	3.215**	4.656***
COV-19	− 0.030**	0.038***	− 0.091***	− 0.069***	− 0.056***	− 0.043***	− 0.030**	− 0.018	− 0.007	0.006	0.029*
VAC	0.006***	− 0.010***	0.022***	0.016***	0.013***	0.009***	0.006***	0.002	0.001	− 0.003	− 0.010***
CASES	− 0.571	0.445	− 1.284*	− 1.030*	− 0.869	− 0.721	− 0.575	− 0.427	− 0.362	− 0.137	0.128
FX	0.741***	0.013	0.720***	0.728***	0.732***	0.737***	0.741***	0.476***	0.749	0.754***	0.762***
GOLD	− 0.566***	0.045	− 0.638***	− 0.613***	− 0.596***	− 0.581***	− 0.567***	− 0.551***	− 0.539	− 0.522***	− 0.495***
BOND	− 0.342	0.381	0.953	− 0.735	− 0.598	− 0.471	− 0.346	− 0.219	− 0.115	0.028	0.256

Dependent variable: LVOL			Quantiles
	Location	Scale	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9
Panel B
Constant	1.123***	0.657***	0.065	0.426**	0.710***	0.984***	1.162***	1.350***	1.550***	1.831***	2.164***
COV-19	0.024***	0.002**	0.020***	0.022***	0.023***	0.023***	0.024***	0.025***	0.026***	0.027***	0.028***
VAC	− 0.003***	0.001	− 0.003***	− 0.003***	− 0.003***	− 0.003***	− 0.003***	− 0.002***	− 0.002***	− 0.002***	− 0.002***
CASES	0.302***	− 0.029	0.350***	0.333***	0.321***	0.310***	0.301***	0.292***	0.283***	0.271***	0.256**
FX	0.036*	− 0.012	0.056**	0.049**	0.044**	0.040*	0.036*	0.032*	0.028	0.023	0.017
GOLD	1.123***	0.657***	0.065	0.426**	0.710***	0.984***	1.162***	1.350***	1.550***	1.831***	2.164***
BOND	0.024***	0.002**	0.020***	0.022***	0.023***	0.023***	0.024***	0.025***	0.026***	0.027***	0.028***

Standard errors are calculated using Monte Carlo simulation with 1000 repetitions. ***, **, and * indicate statistically significant coefficients at the 1%, 5%, and 10% levels, respectively

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