Table 7 Panel VAR results

Stock returns

lagged stock returns

0.059***

0.955***

0.025***

0.030***

−0.006**

(0.005)

(0.005)

(0.004)

(0.003)

(0.003)

Lagged COVID-19/stingindr

0.030***

0.001***

0.113***

0.092***

−0.003

(0.002)

(0.000)

(0.004)

(0.003)

(0.002)

Lagged exchange rate

−0.157***

−0.019***

−0.194***

−0.155***

−0.250***

(0.018)

(0.004)

(0.009)

(0.008)

(0.007)

COVID-19

Lagged stock returns

−0.008

3.045***

0.076***

0.172***

−0.062***

(0.015)

(0.033)

(0.003)

(0.004)

(0.004)

Lagged COVID-19/stingindr

0.161***

−0.085***

0.549***

0.646***

−0.009***

(0.009)

(0.002)

(0.004)

(0.004)

(0.001)

Lagged exchange rate

−1.106***

2.027***

−1.192***

−1.064***

−0.952***

(0.094)

(0.024)

(0.019)

(0.018)

(0.010)

Exchange rate

Lagged stock returns

−0.034***

−0.015***

−0.032***

−0.035***

−0.023***

(0.003)

(0.001)

(0.001)

(0.001)

(0.000)

Lagged COVID-19/stingindr

−0.002***

−0.005***

−0.016***

−0.015***

0.002***

(0.001)

(0.000)

(0.001)

(0.001)

(0.001)

Lagged exchange rate

−0.394***

−0.461***

−0.503***

−0.555***

−0.502***

(0.010)

(0.002)

(0.007)

(0.006)

(0.002)

Obs

17,085

14,271

17,085

17,085

17,085