Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China

Table 2

Regression result of model (1): average abnormal return and registered place of listed company.

	T = 1	T = 5	T = 10	T = 15	T = 20	T = 25
	0.0050 (0.643)	0.0014 (0.486)	0.0028 (1.588)	0.0011 (1.018)	0.0009 (0.932)	0.0011 (1.168)
Constant	−0.0act045 (−0.821)	−0.0023 (−1.133)	−0.0038 (−3.078)	−0.0013 (−1.649)	−0.0006 (−0.837)	0.0001 (0.123)
N	190	190	190	190	190	190
R-squared	0.0022	0.0013	0.0132	0.0055	0.0046	0.0072

Note. This table is based on the following regression: , and presents the result of the regression without control variables. T is the number of trading days before and after the event date. T statistics are reported in parentheses. Significance at 10%, 5%, and 1% levels is indicated by , , and , respectively.