| Panel A: WTIR |
Full-sample (2/01/1995 – 5/05/2020) |
Pre-COVID-19 (2/01/1995 – 30/12/2019) |
Post-COVID-19 (31/12/2019 – 5/05/2020) |
| Mean |
-0.0297 |
0.0358 |
-5.1387 |
| SD |
5.0554 |
2.3979 |
39.5202 |
| Minimum |
-301.96 |
-15.7109 |
-301.96 |
| Maximum |
53.086 |
17.8376 |
53.0864 |
| NP unit root test |
-0.1378***
(-6.174)
|
B1=10/17/2014 |
B2=12/17/2014 |
| Panel B: Positive news |
|
|
|
| Mean |
32.9818 |
32.9594 |
34.1216 |
| SD |
51.2188 |
50.5688 |
88.8543 |
| Minimum |
0 |
0 |
0 |
| Maximum |
740 |
740 |
740 |
| NP unit root test |
-0.4063***
(-16.49)
|
B1=1/13/2009 |
B2=4/30/2009 |
| Panel C: Negative news |
|
|
|
| Mean |
86.6266 |
86.5156 |
95.5946 |
| SD |
139.80 |
139.85 |
138.58 |
| Minimum |
0 |
0 |
0 |
| Maximum |
1606 |
1606 |
838 |
| NP unit root test |
-0.3835***
(-16.02)
|
B1=12/25/2008 |
B2=3/17/2009 |