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Financial Innovation

Table 9 Estimation results for the panel smooth transition regression model for the stringency index

From: Do US states’ responses to COVID-19 restore investor sentiment? Evidence from S&P 500 financial institutions

Independent Variables

Parameter estimates

 

Stringency index

 

First extreme regime

β0

Second extreme regime β0 + β1

TS

 − 0.096

1.189**

 

(0.361)

(0.573)

Stringency index

 − 0.013***

0.027***

 

(0.011)

(0.003)

Beta

0.015**

0.151***

 

(0.007)

(0.015)

Size

3.901***

3.801***

 

(0.345)

(0.326)

Transition parameters

Thresholds (c1, c2)

[66.18 ***, 72.18 ***]

[(0.0399), (0.0115)]

(c1 + c2)/2

69.48

Slope (γ)

2.37

(0.092)

  1. Values in parentheses are robust standard errors. Asterisks ***, **, and * denote statistical significance at the 1%, 5%, and 10% statistical levels, respectively
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