|
COVID-19 |
Positive news |
Negative news |
|
β
1
|
β
2
|
β
1
|
β
2
|
β
1
|
β
2
|
| No control |
0.00007**
(2.1215)
α= 77,434
|
0.0012
(1.0247)
|
-0.0210
(-0.8758)
α= 84,479
|
0.8039**
(2.0126)
|
0.0094
(0.8528)
α= 77,434
|
0.0539
(0.3955)
|
| With control |
0.00008**
(2.1702)
α= 84,479
|
0.0004***
(3.0583)
|
-0.0038
(-0.1225)
α= 84,479
|
0.0885
(0.4482)
|
0.0013
(0.2141)
α= 77,434
|
0.1122*
(1.7526)
|
| Panel B: Regression based on oil price return volatility as a threshold variable |
|
COVID-19 |
Positive news |
Negative news |
|
β
1
|
β
2
|
β
1
|
β
2
|
β
1
|
β
2
|
| No control |
0.00001
(0.2297)
α= 499.95
|
0.0005***
(3.5024)
|
-0.0005
(-0.3819)
α= 9.916
|
0.0052
(1.5241)
|
-0.0002
(-0.4378)
α= 9.916
|
0.0036***
(0.2.9279)
|