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Table 9 Country regression model results for volatility (LVOL)

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

Dependent variable: LVOL
Countries Constant COV-19 VAC CASES R2 F-stat
Argentina 10.516** 0.023*** 0.001 0.501* 0.314 4.288***
Australia 1.149** 0.032*** − 0.004* − 0.101 0.512 9.739***
Brazil 4.789*** 0.007 − 0.001 1.718*** 0.620 15.255***
Canada 0.362 0.043*** − 0.005 − 0.729 0.605 14.342***
China − 0.689 0.024*** − 0.001 − 0.225** 0.229 2.787**
France 2.110*** 0.031*** − 0.009*** − 0.073 0.570 12.392***
Germany 2.678*** 0.035** − 0.008*** − 0.145 0.377 5.654***
India − 3.391 0.022*** − 0.003** 1.235* 0.608 14.483***
Indonesia 1.319 0.027*** − 0.001 0.498 0.480 8.633***
Italy 0.485 0.027** − 0.004* 0.417 0.591 13.495***
Japan 1.064*** 0.012*** 0.001 0.545 0.203 2.382**
Mexico 0.470 0.014** − 0.003** 0.371 0.535 10.760***
Russia 1.778 0.039*** 0.001 0.014 0.536 10.798***
S. Africa 0.031 0.018** − 0.002 0.305** 0.570 12.387***
S. Arabia 0.347 0.010** 0.001 1.871*** 0.491 11.034***
S. Korea 3.047*** 0.015*** 0.003 − 0.584** 0.308 4.164***
Turkey 0.965 0.006 − 0.001 0.550*** 0.316 4.317***
UK 1.598*** 0.034*** − 0.005*** 0.013 0.477 8.515***
US 1.021 0.029* − 0.004 0.636 0.477 10.455***
  1. The standard errors are calculated using the Newey–West variance–covariance matrix. ***, **, and * indicate statistically significant coefficients at 1%, 5%, and 10% levels, respectively