Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China
Table 3
Regression result of model (2): average abnormal return and registered place of listed company.
T = 1
T = 5
T = 10
T = 15
T = 20
T = 25
0.0047 (0.600)
0.0017 (0.566)
0.0029 (1.688)
0.0012 (1.080)
0.0010 (1.005)
0.0010 (1.119)
Firm size
−0.0043 (−1.061)
−0.0003 (−0.218)
−0.0001 (−0.160)
0.0001 (0.134)
0.0002 (0.347)
−0.0008 (−1.550)
Turnover
0.0011 (0.547)
0.0002 (0.319)
−0.0003 (−0.724)
−0.0001 (−0.106)
0.0003 (1.215)
−0.0001 (−0.453)
PE
−0.0001 (−0.297)
−0.0001 (−1.508)
−0.0001 (−0.471)
−0.0001 (−0.196)
−0.0001 (−0.822)
−0.0001 (−1.434)
ROE
−0.0002 (−0.799)
−0.0001 (−1.563)
−0.0002 (−3.302)
−0.0001 (−1.721)
−0.0001 (−0.331)
0.0001 (0.258)
BPS
−0.0034 (−0.386)
0.0023 (0.691)
0.0015 (0.779)
0.0002 (0.191)
−0.0018 (−1.638)
−0.0021 (−2.054)
EPS
0.0022 (1.363)
0.0003 (0.458)
−0.0001 (−0.152)
−0.0002 (−0.830)
0.0001 (0.548)
0.0002 (1.005)
Constant
0.0806 (0.858)
0.0035 (0.098)
0.0006 (0.032)
−0.0018 (−0.133)
−0.0052 (−0.429)
0.0175 (1.562)
N
190
190
190
190
190
190
0.0380
0.0389
0.1023
0.0502
0.0655
0.0896
Note. This table is based on the following regression: and presents the result of the regression with 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.
