Table 1 Variable descriptions
Variables | Definitions | Sources |
|---|---|---|
Dependent variable | ||
Stock return | The daily return is calculated using the return index from Bloomberg | Bloomberg |
Independent variables | ||
Government response index (GRI) | An overall national reaction indicator tracks how the US has responded to different measures and captures the complete variety of government interventions | Oxford Covid-19 government response tracker |
The daily average of Twitter sentiment (TS) | The total daily emotion on Twitter. The scale ranges from -1, representing the most negative attitude, to 1, meaning the most significant high level of engagement, with 0 representing a balanced mood | Bloomberg |
Size | The logarithm of the company's market capitalization | As above |
Beta | The ratio of stock price volatility to market index volatility | As above |
Fed_Asset | Assets: (M$) | Federal Reserve System's governing board (US) |