Panel (A2): during COVID-19 pandemic | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sample | Initial full sample | First sub-sample | Second sub-sample | Third sub-sample | Fourth sub-sample | |||||
1st case day–April 30 | March 12–March 31 | March 12–April 10 | March 12–April 17 | March 12–April 30 | ||||||
Variable | Conventional stock market returns (%) | |||||||||
(1) | (2) | (1) | (2) | (1) | (2) | (1) | (2) | (1) | (2) | |
Growth in confirmed cases | − 0.016*** | − 0.015** | − 0.019*** | − 0.009 | − 0.019*** | − 0.015* | − 0.019*** | − 0.015** | − 0.019*** | − 0.016** |
(0.008) | (0.021) | (0.007) | (0.361) | (0.005) | (0.065) | (0.004) | (0.035) | (0.004) | (0.015) | |
Democratic accountability | − 0.010 |  | − 0.041 |  | − 0.036 |  | 0.010 |  | 0.018 |  |
(0.921) | Â | (0.891) | Â | (0.859) | Â | (0.950) | Â | (0.881) | Â | |
Uncertainty avoidance | 0.002 | Â | 0.011 | Â | 0.011 | Â | 0.007 | Â | 0.006 | Â |
(0.764) | Â | (0.634) | Â | (0.480) | Â | (0.567) | Â | (0.502) | Â | |
Investment freedom | 0.002 | Â | 0.018 | Â | 0.014 | Â | 0.008 | Â | 0.005 | Â |
(0.856) | Â | (0.641) | Â | (0.586) | Â | (0.710) | Â | (0.755) | Â | |
Log (GDP) | 0.070 | Â | 0.184 | Â | 0.270 | Â | 0.135 | Â | 0.118 | Â |
(0.794) | Â | (0.799) | Â | (0.569) | Â | (0.731) | Â | (0.689) | Â | |
Constant | − 1.625 | − 0.551 | − 3.538 | 5.082** | − 6.588 | 1.516 | − 2.165 | 4.645** | − 1.288 | 5.043*** |
(0.665) | (0.264) | (0.701) | (0.017) | (0.282) | (0.284) | (0.671) | (0.014) | (0.737) | (0.006) | |
Week fixed-effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Country fixed-effects | Â | Yes | Â | Yes | Â | Yes | Â | Yes | Â | Yes |
Number of observations | 564 | 564 | 168 | 168 | 263 | 263 | 329 | 329 | 446 | 446 |
Number of countries | 15 | 15 | 15 | 15 | 15 | 15 | 15 | 15 | 15 | 15 |
R2 | 0.073 | 0.085 | 0.044 | 0.089 | 0.063 | 0.099 | 0.061 | 0.084 | 0.064 | 0.084 |