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