Financial Innovation

Table 8 Country Regression Model Results for Cumulative Abnormal Returns (CAR)

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

Dependent Variable: CAR
Countries	Constant	COV-19	VAC	CASES	R²	F-stat
Argentina	75.538*	− 0.091	0.014	3.159	0.084	0.865
Australia	3.622**	− 0.098***	− 0.004	− 0.487	0.372	5.548***
Brazil	− 6.616	− 0.062	0.010	− 1.508	0.178	2.030*
Canada	2.871	− 0.144***	0.016	2.995	0.439	7.322***
China	− 7.245	0.007	− 0.007	0.536	0.080	0.815
France	1.688	− 0.096**	0.003	− 0.208	0.241	2.973**
Germany	5.198	− 0.150**	0.004	4.035*	0.258	3.247***
India	− 14.396	0.043	0.007	− 7.949***	0.272	3.487***
Indonesia	− 1.235	− 0.029	− 0.002	− 1.029	0.276	3.560***
Italy	2.620	− 0.215***	0.003	3.614	0.277	3.578***
Japan	− 0.274	0.018	− 0.010*	− 2.968*	0.311	4.231***
Mexico	− 6.035	− 0.113***	− 0.006	− 1.921	0.330	4.615***
Russia	9.880	− 0.347**	− 0.005	14.188	0.197	2.291**
S. Africa	− 10.091	− 0.074	0.001	− 0.789	0.112	1.187
S. Arabia	− 0.941	0.027	0.006*	− 2.755	0.187	2.623**
S. Korea	2.406	− 0.018	0.003	− 0.272	0.152	1.684
Turkey	− 7.898	− 0.045	− 0.016	− 0.511	0.514	9.887***
UK	0.897	− 0.093**	− 0.001	0.450	0.256	3.214***
US	4.295**	− 0.213***	0.002	3.456*	0.614	17.481***

The standard errors are calculated using the Newey–West variance–covariance matrix. ***, **, and * indicate statistically significant coefficients at the 1%, 5%, and 10% levels, respectively

Back to article page