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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***
  1. 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