Financial Innovation

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***

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

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