Government responses to COVID-19 and industry stock returns

Figures & data

Figure 1. Evolution of return series for NZ50 market index and industries.

Note: Time-period spans from January 1, 2019 to August 25, 2020. NZ50 (NZX 50 index), TECH (technology), TELE (telecom), HLTH (healthcare), FIN (financials), FINS (financial services), RLEST (real estate), COSTP (consumer staples), FDBEV (food and beverage), INDUS (industrials), INDGS (industrial goods), BMATR (basic materials), BRESR (basic resources), ENEGY (energy) and UTILS (utilities).

Source: Author's Computation.

Figure 2. Dynamic Equi-correlation among the NZ sectors.

Note: The dynamic equi-correlation among the NZ sectors is estimated using DECO-GARCH (1,1).

Source: Author's Computation.

Table 1. Descriptive statistics and unit root.

	ABB	Mean (%)	Median	Max	Min	SD	Skew	Kurt	JB	ADF
NZX 50 Index	NZ50	0.072	0.069	6.937	−7.890	1.067	−0.853	16.570	3351.316***	−11.654***
Technology	TECH	−0.244	0.006	16.068	−25.284	3.369	−2.010	20.083	5517.987***	−8.181***
Telecom	TELE	0.078	0.031	6.467	−6.363	1.328	−0.267	6.495	224.018***	−19.026***
Healthcare	HLTH	0.142	0.073	10.888	−6.825	1.407	0.702	12.719	1727.804***	−20.312***
Financials	FIN	0.047	0.058	8.837	−19.957	1.708	−3.820	50.527	41516.050***	−6.809***
Financial Services	FINS	0.025	0.021	8.838	−19.962	1.750	−3.518	45.745	33622.710***	−7.022***
Real Estate	RLEST	0.056	0.075	6.539	−15.975	1.334	−4.334	57.199	53976.370***	−12.476***
Consumer Staples	COSTP	0.101	0.002	7.583	−9.728	1.736	−0.309	8.125	477.439***	−20.683***
Food and Beverage	FDBEV	0.101	0.002	7.583	−9.728	1.736	−0.309	8.125	477.508***	−20.683***
Industrials	INDUS	0.043	0.062	9.536	−14.344	1.561	−2.076	28.252	11734.090***	−8.212***
Industrial Goods and Services	INDGS	0.061	0.082	9.887	−15.894	1.639	−2.148	30.952	14329.060***	−8.741***
Basic Materials	BMATR	0.073	0.000	21.168	−18.348	2.323	0.548	29.513	12615.670***	−22.619***
Basic Resources	BRESR	0.094	0.022	21.194	−18.314	2.322	0.555	29.531	12633.900***	−22.626***
Energy	ENEGY	−0.156	0.024	10.338	−15.269	2.011	−1.635	17.271	3840.466***	−19.877***
Utilities	UTILS	0.092	0.148	5.047	−8.657	1.380	−1.494	11.816	1552.454***	−19.397***

Note: ABB represents abbreviations, Max, Min, SD, Skew, Kurt, JB, and ADF represents maximum, minimum, standard deviation, skewness, kurtosis, Jarque Bera test of normality, and Augmented Dickey-Fuller test of stationarity.

Source: Author's Computation.

Table 2. Effect of COVID factors (Lockdown, Stimulus package and Travel ban) on NZ50 market returns.

	Lockdown	Stimulus	Travel
${\mathit{COVFAC}}_{t-1}$	5.041***	−0.094	1.472***
	(1.082)	(0.810)	(0.625)
${\mathit{COVFAC}}_{t-2}$	−4.975***	−4.035***	−9.404***
	(0.380)	(0.437)	(0.435)
${\mathit{COVFAC}}_{t-3}$	2.156***	5.511***	16.844***
	(0.522)	(0.885)	(1.107)
${\mathit{COVFAC}}_{t-4}$	−0.314	−9.347***	−8.561
	(0.634)	(0.441)	(1.535)
${\mathit{COVFAC}}_{t-5}$	−1.573***	8.238***	−0.133
	(0.528)	(0.293)	(0.638)
${\mathit{OIL}}_{t-1}$	−0.001	−0.012	0.017
	(0.021)	(0.023)	(0.018)
${\mathit{MONDAY}}_t$	−0.322	−0.197	−0.139
	(0.213)	(0.152)	(0.147)
${\mathit{TUESDAY}}_t$	0.156	0.191	0.175
	(0.133)	(0.136)	(0.139)
${\mathit{THURSDAY}}_t$	−0.249	−0.143	−0.158
	(0.166)	(0.145)	(0.162)
${\mathit{FRIDAY}}_t$	−0.163	−0.166	−0.124
	(0.140)	(0.137)	(0.126)
${\mathit{RTN}}_{t-1}$	0.032	0.074	0.214**
	(0.148)	(0.149)	(0.099)
${\mathit{VOL}}_{t-1}$	−0.281	0.082	−0.061
	(0.253)	(0.264)	(0.205)
C	0.338*	0.023	0.103
	(0.200)	(0.175)	(0.166)
${\overline{R}}^2$	0.085	0.208	0.301
Wald	0.335**	0.272	0.217
	(0.170)	(0.183)	(0.142)

Note: Regression model.

Source: Author's Computation.

$${\mathit{RTN}}_t=\mathrm{{\rm A}}+{\sum }_{i=1}^5{\gamma }_i{\mathit{COVFAC}}_{t-i}+{\gamma }_6{\mathit{OIL}}_{t-1}+{\gamma }_7{\mathit{MONDAY}}_t+{\gamma }_8{\mathit{TUESDAY}}_t+{\gamma }_9{\mathit{THURSDAY}}_t+{\gamma }_{10}{\mathit{FRIDAY}}_t+{\gamma }_{11}{\mathit{RTN}}_{t-1}+{\gamma }_{12}{\mathit{VOL}}_{t-1}+{ϵ}_t$$

The p-values are generated after correcting for Newey and West (1987) standard errors that are robust to heteroskedasticity and autocorrelation. Sum of lag coefficients and p-values of the Wald test exploring the null hypothesis of ${\sum }_{i=1}^5{\gamma }_i=0.$ Standard errors are presented in ( ).

The 10%, 5%, and 1% significance are denoted by *, **, and ***, respectively.

Table 3. Effect of Lockdown on NZ industry returns.

	TECH	TELE	HLTH	FIN	FINS	RLEST	COSTP
${\mathit{LOCKDOWN}}_{t-1}$	16.018***	6.914***	2.460**	8.340***	8.174***	9.652***	4.343***
	(2.212)	(0.508)	(1.092)	(2.553)	(2.560)	(2.033)	(0.335)
${\mathit{LOCKDOWN}}_{t-2}$	−11.542***	−7.835***	−2.145***	−4.921***	−4.832***	−5.044***	−4.608***
	(1.118)	(0.426)	(0.283)	(0.266)	(0.269)	(0.795)	(0.299)
${\mathit{LOCKDOWN}}_{t-3}$	−6.883***	1.172**	3.165***	−3.042***	−3.067***	−2.903***	3.568***
	(1.128)	(0.572)	(0.465)	(0.598)	(0.573)	(1.016)	(0.481)
${\mathit{LOCKDOWN}}_{t-4}$	15.559***	0.936**	−2.461***	1.057	0.930	0.677	−1.354**
	(1.264)	(0.441)	(0.854)	(0.870)	(0.879)	(0.785)	(0.557)
${\mathit{LOCKDOWN}}_{t-5}$	−12.082***	−0.915**	−0.799	−0.890	−0.678	−2.094**	−1.542***
	(1.412)	(0.465)	(0.797)	(1.308)	(1.354)	(1.071)	(0.442)
${\mathit{OIL}}_{t-1}$	0.025	−0.012	−0.014	0.005	0.007	0.032	0.008
	(0.044)	(0.020)	(0.038)	(0.026)	(0.026)	(0.023)	(0.026)
${\mathit{MONDAY}}_t$	−0.353	0.045	−0.083	−0.868**	−0.947**	−0.470	−0.409
	(0.486)	(0.186)	(0.226)	(0.443)	(0.454)	(0.299)	(0.312)
${\mathit{TUESDAY}}_t$	0.553	0.268	0.053	−0.173	−0.138	−0.047	−0.112
	(0.412)	(0.210)	(0.226)	(0.203)	(0.217)	(0.161)	(0.310)
${\mathit{THURSDAY}}_t$	−0.320	−0.279	−0.345*	−0.562**	−0.614**	−0.286	−0.453
	(0.536)	(0.240)	(0.198)	(0.237)	(0.240)	(0.191)	(0.278)
${\mathit{FRIDAY}}_t$	0.098	−0.071	−0.288	−0.473**	−0.575**	−0.219	−0.340
	(0.435)	(0.217)	(0.206)	(0.233)	(0.237)	(0.169)	(0.260)
${\mathit{RTN}}_{t-1}$	0.170	0.073	−0.007	−0.086	−0.085	−0.242	−0.007
	(0.118)	(0.068)	(0.086)	(0.150)	(0.144)	(0.203)	(0.061)
${\mathit{VOL}}_{t-1}$	−0.279	−0.324	−0.071	−0.239	−0.239	−0.329	−11.911
	(0.179)	(0.302)	(0.226)	(0.252)	(0.284)	(0.249)	(8.203)
C	0.282	0.413	0.312	0.597**	0.644*	0. 466**	21.280
	(0.363)	(0.359)	(0.291)	(0.272)	(0.337)	(0.215)	(14.436)
${\overline{R}}^2$	0.145	0.091	0.037	0.087	0.090	0.162	0.038
Wald	1.070	0.272**	0.220	0.544*	0.527*	0.288	0.407
	(0.606)	(0.135)	(0.200)	(0.312)	(0.290)	(0.211)	(0.307)
	FDBEV	INDUS	INDGS	BMATR	BRESR	ENEGY	UTILS
${\mathit{LOCKDOWN}}_{t-1}$	4.343***	4.904***	5.649***	23.179***	23.677***	−1.339	4.547***
	(0.335)	(1.802)	(1.712)	(1.610)	(1.803)	(1.972)	(0.670)
${\mathit{LOCKDOWN}}_{t-2}$	−4.608***	−5.860***	−7.378***	−15.657***	−15.691***	−1.455**	−6.538***
	(0.299)	(0.285)	(0.256)	(2.589)	(2.588)	(0.736)	(0.240)
${\mathit{LOCKDOWN}}_{t-3}$	3.568***	−1.155	−0.786	−12.080***	−11.817***	5.463***	3.999***
	(0.481)	(0.869)	(1.090)	(2.565)	(2.503)	(0.534)	(0.397)
${\mathit{LOCKDOWN}}_{t-4}$	−1.355**	3.445***	2.283***	11.174***	11.012***	3.565***	−0.909
	(0.557)	(0.742)	(0.741)	(2.217)	(2.284)	(1.079)	(0.564)
${\mathit{LOCKDOWN}}_{t-5}$	−1.542***	−0.922	0.626	−5.761***	−6.405***	−5.931***	−0.812*
	(0.442)	(1.393)	(1.431)	(1.559)	(1.633)	(1.020)	(0.425)
${\mathit{OIL}}_{t-1}$	0.008	0.015	0.015	0.067	0.064	0.030	−0.003
	(0.026)	(0.025)	(0.025)	(0.052)	(0.051)	(0.033)	(0.021)
${\mathit{MONDAY}}_t$	−0.409	−0.732**	−0.838***	−0.439	−0.452	−0.188	−0.345
	(0.312)	(0.301)	(0.310)	(0.392)	(0.397)	(0.326)	(0.264)
${\mathit{TUESDAY}}_t$	−0.112	0.104	0.032	0.142	0.129	0.599	0.410**
	(0.310)	(0.180)	(0.193)	(0.300)	(0.305)	(0.293)	(0.201)
${\mathit{THURSDAY}}_t$	−0.453	−0.232	−0.243	0.088	0.075	−0.084	−0.047
	(0.278)	(0.198)	(0.206)	(0.288)	(0.294)	(0.260)	(0.236)
${\mathit{FRIDAY}}_t$	−0.340	−0.170	−0.193	0.083	0.072	−0.328	0.162
	(0.260)	(0.151)	(0.157)	(0.261)	(0.262)	(0.278)	(0.195)
${\mathit{RTN}}_{t-1}$	−0.007	−0.036	−0.034	−0.161	−0.166	0.016	0.076
	(0.061)	(0.164)	(0.157)	(0.138)	(0.141)	(0.107)	(0.069)
${\mathit{VOL}}_{t-1}$	−11.922	−0.124	−0.056	−0.229	−0.253	−0.155	−0.244
	(8.210)	(0.294)	(0.277)	(0.212)	(0.197)	(0.229)	(0.169)
C	21.298	0.296	0.290	0.435	0.635	0.047	0.289
	(14.449)	(0.256)	(0.255)	(0.549)	(0.615)	(0.381)	(0.276)
${\overline{R}}^2$	0.038	0.079	0.085	0.305	0.309	0.082	0.073
Wald	0.407	0.413*	0.395*	0.855**	0.776***	0.302	0.287*
	(0.307)	(0.242)	(0.232)	(0.336)	(0.283)	(0.292)	(0.156)

Note: Regression model.

Source: Author's Computation. $${\mathit{RTN}}_t=\mathrm{{\rm A}}+{\sum }_{i=1}^5{\gamma }_i{\mathit{LOCKDOWN}}_{t-i}+{\gamma }_6{\mathit{OIL}}_{t-1}+{\gamma }_7{\mathit{MONDAY}}_t+{\gamma }_8{\mathit{TUESDAY}}_t+{\gamma }_9{\mathit{THURSDAY}}_t+{\gamma }_{10}{\mathit{FRIDAY}}_t+{\gamma }_{11}{\mathit{RTN}}_{t-1}+{\gamma }_{12}{\mathit{VOL}}_{t-1}+{ϵ}_t$$

The p-values are generated after correcting for Newey and West (1987) standard errors that are robust to heteroskedasticity and autocorrelation. Sum of lag coefficients and p-values of the Wald test exploring the null hypothesis of ${\sum }_{i=1}^5{\gamma }_i=0.$ Standard errors are presented in ( ).

The 10%, 5%, and 1% significance are denoted by *, **, and ***, respectively. .

Table 4. Effect of Stimulus package on NZ industry returns.

	TECH	TELE	HLTH	FIN	FINS	RLEST	COSTP
${\mathit{STIMULUS}}_{t-1}$	−20.898***	−2.448***	0.912	0.830	0.704	−0.874	3.320***
	(2.721)	(0.719)	(0.815)	(1.882)	(1.792)	(0.987)	(0.309)
${\mathit{STIMULUS}}_{t-2}$	23.096***	−2.579***	−1.708***	−7.926***	−7.797***	−6.304***	−5.673***
	(2.141)	(0.597)	(0.593)	(0.737)	(0.711)	(0.438)	(0.531)
${\mathit{STIMULUS}}_{t-3}$	1.114	3.351***	−2.325	9.577***	9.512***	11.552***	9.610***
	(3.569)	(1.026)	(1.676)	(1.224)	(1.209)	(0.970)	(1.055)
${\mathit{STIMULUS}}_{t-4}$	−29.592***	−1.047**	−1.810**	−22.400***	−22.363***	−20.743***	−11.375***
	(1.022)	(0.405)	(0.855)	(0.963)	(0.920)	(1.501)	(0.597)
${\mathit{STIMULUS}}_{t-5}$	26.835***	2.932***	5.135***	20.324***	20.363***	16.469***	4.738***
	(1.314)	(0.576)	(0.494)	(0.597)	(0.569)	(0.470)	(0.326)
${\mathit{OIL}}_{t-1}$	0.030	−0.025	−0.008	−0.021	−0.019	0.007	−0.012
	(0.049)	(0.021)	(0.036)	(0.028)	(0.028)	(0.022)	(0.019)
${\mathit{MONDAY}}_t$	−0.361	0.019	0.019	−0.572**	−0.639**	−0.230*	−0.274
	(0.390)	(0.185)	(0.212)	(0.250)	(0.256)	(0.130)	(0.301)
${\mathit{TUESDAY}}_t$	0.464	0.219	0.077	−0.054	−0.013	0.068	−0.055
	(0.378)	(0.204)	(0.221)	(0.175)	(0.190)	(0.132)	(0.314)
${\mathit{THURSDAY}}_t$	−0.416	−0.170	−0.306	−0.384**	−0.434**	−0.064	−0.342
	(0.498)	(0.238)	(0.191)	(0.189)	(0.192)	(0.144)	(0.278)
${\mathit{FRIDAY}}_t$	−0.162	−0.104	−0.252	−0.395**	−0.489**	−0.145	−0.366
	(0.367)	(0.221)	(0.192)	(0.200)	(0.205)	(0.141)	(0.263)
${\mathit{RTN}}_{t-1}$	0.184*	0.054	−0.022	0.026	0.020	−0.028	0.038
	(0.111)	(0.078)	(0.101)	(0.146)	(0.139)	(0.152)	(0.047)
${\mathit{VOL}}_{t-1}$	0.070	0.219	0.171	0.057	0.088	0.163	−15.668**
	(0.188)	(0.380)	(0.254)	(0.210)	(0.225)	(0.198)	(8.073)
C	−0.326	−0.220	0.003	0.225	0.189	0.003	27.807**
	(0.465)	(0.434)	(0.300)	(0.174)	(0.214)	(0.143)	(14.205)
${\overline{R}}^2$	0.296	0.078	0.066	0.399	0.390	0.455	0.081
Wald	0.556	0.209	0.204	0.406	0.418*	0.101	0.619**
	(0.576)	(0.160)	(0.229)	(0.275)	(0.252)	(0.183)	(0.291)
	FDBEV	INDUS	INDGS	BMATR	BRESR	ENEGY	UTILS
${\mathit{STIMULUS}}_{t-1}$	3.320***	−2.626	−2.366	2.445***	2.340***	−5.504***	0.593
	(0.309)	(1.700)	(1.866)	(0.492)	(0.588)	(0.810)	(0.385)
${\mathit{STIMULUS}}_{t-2}$	−5.673***	−4.079***	−4.417***	−12.230***	−12.171***	−5.604***	−3.807***
	(0.531)	(0.589)	(0.605)	(0.795)	(0.727)	(1.889)	(0.541)
${\mathit{STIMULUS}}_{t-3}$	9.610***	13.758***	14.197***	21.770***	21.735***	10.124***	4.003***
	(1.055)	(1.157)	(1.305)	(1.842)	(1.759)	(1.202)	(1.123)
${\mathit{STIMULUS}}_{t-4}$	−11.375***	−17.670***	−17.835***	−30.809***	−30.864***	−15.075***	−9.116***
	(0.597)	(1.214)	(1.196)	(1.794)	(1.840)	(1.118)	(0.449)
${\mathit{STIMULUS}}_{t-5}$	4.738***	11.040***	10.857***	19.340***	19.474***	16.181***	8.657***
	(0.325)	(0.658)	(0.855)	(0.956)	(1.101)	(0.565)	(0.200)
${\mathit{OIL}}_{t-1}$	−0.012	−0.017	−0.020	0.007	0.008	0.024	−0.010
	(0.019)	(0.024)	(0.025)	(0.026)	(0.024)	(0.030)	(0.023)
${\mathit{MONDAY}}_t$	−0.274	−0.627***	−0.745***	−0.234	−0.232	−0.062	−0.218
	(0.301)	(0.228)	(0.245)	(0.292)	(0.292)	(0.228)	(0.220)
${\mathit{TUESDAY}}_t$	−0.055	0.177	0.088	0.369	0.369	0.576**	0.429**
	(0.314)	(0.194)	(0.206)	(0.303)	(0.302)	(0.254)	(0.201)
${\mathit{THURSDAY}}_t$	−0.342	−0.112	−0.121	0.563	0.565	−0.042	0.055
	(0.278)	(0.171)	(0.186)	(0.360)	(0.363)	(0.233)	(0.224)
${\mathit{FRIDAY}}_t$	−0.366	−0.242	−0.285	0.061	0.063	−0.434	0.141
	(0.263)	(0.163)	(0.174)	(0.273)	(0.273)	(0.287)	(0.196)
${\mathit{RTN}}_{t-1}$	0.038	0.088	0.091	0.056	0.057	0.010	0.084
	(0.047)	(0.115)	(0.108)	(0.072)	(0.074)	(0.118)	(0.065)
${\mathit{VOL}}_{t-1}$	−15.682**	0.055	0.074	0.096	0.118	0.175	−0.069
	(8.081)	(0.273)	(0.278)	(0.169)	(0.175)	(0.125)	(0.175)
C	27.831**	0.068	0.104	−0.421	−0.502	−0.401	0.039
	(14.218)	(0.228)	(0.254)	(0.436)	(0.515)	(0.264)	(0.256)
${\overline{R}}^2$	0.081	0.240	0.222	0.282	0.284	0.267	0.144
Wald	0.619**	0.423*	0.437*	0.516**	0.514**	0.122	0.330**
	(0.291)	(0.249)	(0.242)	(0.251)	(0.213)	(0.265)	(0.168)

Note: Regression model.

Source: Author's Computation. $${\mathit{RTN}}_t=\mathrm{{\rm A}}+{\sum }_{i=1}^5{\gamma }_i{\mathit{STIMULUS}}_{t-i}+{\gamma }_6{\mathit{OIL}}_{t-1}+{\gamma }_7{\mathit{MONDAY}}_t+{\gamma }_8{\mathit{TUESDAY}}_t+{\gamma }_9{\mathit{THURSDAY}}_t+{\gamma }_{10}{\mathit{FRIDAY}}_t+{\gamma }_{11}{\mathit{RTN}}_{t-1}+{\gamma }_{12}{\mathit{VOL}}_{t-1}+{ϵ}_t$$

The p-values are generated after correcting for Newey and West (1987) standard errors that are robust to heteroskedasticity and autocorrelation. Sum of lag coefficients and p-values of the Wald test exploring the null hypothesis of ${\sum }_{i=1}^5{\gamma }_i=0.$ Standard errors are presented in ( ).

The 10%, 5%, and 1% significance are denoted by *, **, and ***, respectively. .

Table 5. Effect of Travel ban on NZ industry returns.

	TECH	TELE	HLTH	FIN	FINS	RLEST	COSTP
${\mathit{TRAVEL}}_{t-1}$	5.204**	−1.549**	−3.742***	3.438***	3.287***	5.643***	7.103***
	(2.886)	(0.724)	(0.457)	(1.022)	(0.988)	(0.992)	(0.500)
${\mathit{TRAVEL}}_{t-2}$	−30.070***	−0.626	−0.992**	−23.043***	−22.914***	−22.615***	−11.203***
	(1.242)	(0.436)	(0.480)	(0.877)	(0.847)	(1.446)	(0.594)
${\mathit{TRAVEL}}_{t-3}$	39.754***	5.208***	16.122***	33.029***	32.571***	27.621***	4.981***
	(3.035)	(0.664)	(0.685)	(2.703)	(2.642)	(3.151)	(0.711)
${\mathit{TRAVEL}}_{t-4}$	−10.297***	−1.468*	−12.798***	−8.850***	−8.391***	−9.547***	−0.081
	(2.894)	(0.789)	(1.501)	(3.311)	(3.169)	(3.195)	(0.640)
${\mathit{TRAVEL}}_{t-5}$	−3.769	−1.282***	1.480*	−4.198***	−4.178***	−1.000	−0.212
	(2.398)	(0.417)	(0.821)	(1.399)	(1.352)	(1.477)	(0.287)
${\mathit{OIL}}_{t-1}$	0.054	−0.005	0.023	0.017	0.019	0.043	−0.006
	(0.043)	(0.024)	(0.020)	(0.026)	(0.026)	(0.024)	(0.020)
${\mathit{MONDAY}}_t$	−0.007	0.081	0.027	−0.478**	−0.528**	−0.153	−0.312
	(0.427)	(0.187)	(0.214)	(0.239)	(0.241)	(0.125)	(0.305)
${\mathit{TUESDAY}}_t$	0.705	0.260	−0.054	−0.030	0.023	0.108	−0.094
	(0.440)	(0.208)	(0.212)	(0.185)	(0.198)	(0.142)	(0.318)
${\mathit{THURSDAY}}_t$	−0.029	−0.183	−0.329	−0.430*	−0.471**	−0.102	−0.405
	(0.600)	(0.242)	(0.200)	(0.233)	(0.233)	(0.170)	(0.288)
${\mathit{FRIDAY}}_t$	0.188	−0.058	−0.251	−0.311*	−0.394**	−0.104	−0.406
	(0.426)	(0.216)	(0.191)	(0.188)	(0.192)	(0.142)	(0.266)
${\mathit{RTN}}_{t-1}$	0.278***	0.066	0.069	0.196	0.177	0.200	0.030
	(0.101)	(0.071)	(0.076)	(0.112)	(0.109)	(0.131)	(0.048)
${\mathit{VOL}}_{t-1}$	−0.115	−0.179	0.141	−0.117	−0.110	−0.015	−14.999**
	(0.216)	(0.364)	(0.192)	(0.143)	(0.159)	(0.180)	(7.930)
C	−0.211	0.210	0.064	0.332*	0.344	0.079	26.672**
	(0.451)	(0.418)	(0.257)	(0.183)	(0.214)	(0.160)	(13.960)
${\overline{R}}^2$	0.244	0.055	0.201	0.465	0.447	0.479	0.068
Wald	0.821	0.284*	0.070	0.376*	0.375*	0.101	0.588**
	(0.620)	(0.153)	(0.177)	(0.205)	(0.194)	(0.140)	(0.293)
	FDBEV	INDUS	INDGS	BMATR	BRESR	ENEGY	UTILS
${\mathit{TRAVEL}}_{t-1}$	7.103***	8.358***	8.722***	11.167***	11.036***	0.164	0.486
	(0.500)	(1.304)	(1.296)	(0.895)	(0.870)	(0.958)	(0.467)
${\mathit{TRAVEL}}_{t-2}$	−11.203***	−17.972***	−17.925***	−29.327***	−29.331***	−15.164***	−8.831***
	(0.594)	(0.989)	(1.081)	(1.494)	(1.481)	(0.914)	(0.429)
${\mathit{TRAVEL}}_{t-3}$	4.981***	22.566***	22.245***	13.962***	13.841***	29.511***	14.530***
	(0.711)	(1.254)	(1.352)	(2.618)	(2.687)	(1.447)	(0.733)
${\mathit{TRAVEL}}_{t-4}$	−0.081	−7.958***	−7.058***	5.403***	5.221***	−14.775***	−4.026***
	(0.640)	(1.494)	(1.621)	(1.458)	(1.501)	(1.981)	(0.909)
${\mathit{TRAVEL}}_{t-5}$	−0.212	−4.484***	−5.464***	−0.597	−0.175	0.413	−1.903***
	(0.287)	(1.056)	(1.071)	(0.989)	(1.535)	(1.136)	(0.462)
${\mathit{OIL}}_{t-1}$	−0.006	0.021	0.019	0.022	0.023	0.083**	0.012
	(0.020)	(0.019)	(0.019)	(0.039)	(0.038)	(0.035)	(0.020)
${\mathit{MONDAY}}_t$	−0.312	−0.533**	−0.659***	−0.268	−0.270	0.155	−0.185
	(0.305)	(0.215)	(0.232)	(0.296)	(0.297)	(0.222)	(0.221)
${\mathit{TUESDAY}}_t$	−0.094	0.194	0.094	0.371	0.369	0.639**	0.420**
	(0.318)	(0.196)	(0.205)	(0.296)	(0.295)	(0.296)	(0.200)
${\mathit{THURSDAY}}_t$	−0.405	−0.082	−0.096	0.410	0.406	−0.003	0.052
	(0.288)	(0.178)	(0.193)	(0.360)	(0.356)	(0.234)	(0.232)
${\mathit{FRIDAY}}_t$	−0.406	−0.167	−0.217	0.048	0.048	−0.293	0.168
	(0.266)	(0.142)	(0.149)	(0.281)	(0.281)	(0.282)	(0.189)
${\mathit{RTN}}_{t-1}$	0.030	0.169	0.150*	0.000	−0.002	0.151**	0.127**
	(0.048)	(0.077)	(0.083)	(0.068)	(0.068)	(0.067)	(0.050)
${\mathit{VOL}}_{t-1}$	−15.013*	−0.308	−0.286	0.082	0.119	−0.060	−0.144
	(7.937)	(0.194)	(0.174)	(0.188)	(0.207)	(0.127)	(0.152)
C	26.695*	0.352*	0.410**	−0.372	−0.484	−0.156	0.114
	(13.972)	(0.199)	(0.196)	(0.487)	(0.603)	(0.245)	(0.248)
${\overline{R}}^2$	0.068	0.339	0.322	0.250	0.251	0.281	0.173
Wald	0.588**	0.511**	0.521**	0.608**	0.592***	0.148	0.257*
	(0.293)	(0.223)	(0.213)	(0.247)	(0.211)	(0.239)	(0.150)

Note: Regression model.

Source: Author's Computation. $${\mathit{RTN}}_t=\mathrm{{\rm A}}+{\sum }_{i=1}^5{\gamma }_i{\mathit{TRAVEL}}_{t-i}+{\gamma }_6{\mathit{OIL}}_{t-1}+{\gamma }_7{\mathit{MONDAY}}_t+{\gamma }_8{\mathit{TUESDAY}}_t+{\gamma }_9{\mathit{THURSDAY}}_t+{\gamma }_{10}{\mathit{FRIDAY}}_t+{\gamma }_{11}{\mathit{RTN}}_{t-1}+{\gamma }_{12}{\mathit{VOL}}_{t-1}+{ϵ}_t$$

The p-values are generated after correcting for Newey and West (1987) standard errors that are robust to heteroskedasticity and autocorrelation of up to 12 lags. Sum of lag coefficients and p-values of the Wald test exploring the null hypothesis of ${\sum }_{i=1}^5{\gamma }_i=0.$ Standard errors are presented in ( ).

The 10%, 5%, and 1% significance are denoted by *, **, and ***, respectively. .

Table 6. Effect of COVID-19 factors (Lockdown, Stimulus package and Travel ban) on the dynamic equi-correlation (DECO) among NZ industries.

	Lockdown	Stimulus	Travel
${\mathit{COVFAC}}_{t-1}$	−0.0024	−0.0059***	0.0052***
	(0.0016)	(0.0013)	(0.0012)
${\mathit{COVFAC}}_{t-2}$	0.0028***	−0.0037***	0.0051***
	(0.0007)	(0.0013)	(0.0010)
${\mathit{COVFAC}}_{t-3}$	−0.0029***	0.0151***	0.0031*
	(0.0010)	(0.0027)	(0.0018)
${\mathit{COVFAC}}_{t-4}$	0.0016	0.0040***	−0.0127***
	(0.0011)	(0.0010)	(0.0014)
${\mathit{COVFAC}}_{t-5}$	0.0006	−0.0097***	−0.0008
	(0.0013)	(0.0008)	(0.0011)
${\mathit{OIL}}_{t-1}$	−0.0001**	−0.0002***	−0.0001**
	(0.0001)	(0.0001)	(0.0001)
${\mathit{MONDAY}}_t$	0.0001	−0.0001	0.0000
	(0.0004)	(0.0004)	(0.0004)
${\mathit{TUESDAY}}_t$	0.0004	0.0003	0.0002
	(0.0004)	(0.0004)	(0.0004)
${\mathit{THURSDAY}}_t$	0.0000	0.0000	0.0000
	(0.0005)	(0.0005)	(0.0005)
${\mathit{FRIDAY}}_t$	0.0004	0.0003	0.0003
	(0.0007)	(0.0006)	(0.0006)
${\mathit{DECO}}_{t-1}$	0.9721***	0.9685***	0.9492***
	(0.0194)	(0.0184)	(0.0180)
C	0.0000	0.0000	0.0000
	(0.0003)	(0.0003)	(0.0003)
${\overline{R}}^2$	0.9429	0.9456	0.9464
Wald	−0.0003	−0.0001	−0.0001
	(0.0003)	(0.0003)	(0.0003)

Note: Regression model.

Source: Author's Computation. $${\mathit{DECO}}_t=\mathrm{{\rm A}}+{\sum }_{i=1}^5{\gamma }_i{\mathit{COVFAC}}_{t-i}+{\gamma }_6{\mathit{OIL}}_{t-1}+{\gamma }_7{\mathit{MONDAY}}_t+{\gamma }_8{\mathit{TUESDAY}}_t+{\gamma }_9{\mathit{THURSDAY}}_t+{\gamma }_{10}{\mathit{FRIDAY}}_t+{\gamma }_{11}{\mathit{DECO}}_{t-1}+{ϵ}_t$$

The p-values are generated after correcting for Newey and West (1987) standard errors that are robust to heteroskedasticity and autocorrelation. Sum of lag coefficients and p-values of the Wald test exploring the null hypothesis of ${\sum }_{i=1}^5{\gamma }_i=0.$ Standard errors are presented in ( ).

The 10%, 5%, and 1% significance are denoted by *, **, and ***, respectively.

Newey, W. & West, K. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55(3), 703–708.

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