Subsample Analysis: Pre-lockdown vs Post-lockdown
| Variables | PRE | POST | PRE | POST | PRE | POST |
|---|---|---|---|---|---|---|
| Panel A: Gold | ||||||
| Intercept | 156.03 (4.94) | 163.36 (4.05) | 233.91 (8.99) | 283.24 (11.26) | 53.00 (19.60) | 28.35 (9.59) |
| Treat | 21.86 (0.42) | 41.91*** (2.71) | –1.91 (–0.03) | 45.05*** (3.56) | 36.20 (0.85) | 28.87*** (2.40) |
| Gold × Treat | –0.49 (–0.51) | –0.12 (–0.98) | –0.01 (–0.02) | –0.39*** (–5.79) | –0.60 (–1.44) | –0.04 (–0.41) |
| Controls | Included | Included | Included | Included | Included | Included |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Covid news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 118 | 118 | 118 | 118 | 118 | 118 |
| Adj R-sq | 0.9665 | 0.9664 | 0.9595 | 0.9670 | 0.9698 | 0.9689 |
| Panel B: Crude oil | ||||||
| Intercept | 150.07 (4.74) | 125.18 (3.39) | 141.01 (6.33) | 227.91 (10.38) | 54.07 (19.52) | 27.03 (6.14) |
| Treat | –37.36*** (–5.06) | 27.23*** (5.38) | –23.77*** (–3.43) | 2.22 (0.33) | –33.71*** (–5.03) | 25.45*** (6.05) |
| Crude oil × Treat | 0.21 (1.54) | 0.03 (0.67) | 0.55*** (4.95) | –0.15 (–4.22) | 0.21* (1.74) | –0.02 (–0.44) |
| Controls | Included | Included | Included | Included | Included | Included |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Covid news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 118 | 118 | 118 | 118 | 118 | 118 |
| Adj R-sq | 0.9673 | 0.9662 | 0.9718 | 0.9648 | 0.9704 | 0.9690 |
| Variables | PRE | POST | PRE | POST | PRE | POST |
|---|---|---|---|---|---|---|
| Intercept | 156.03 (4.94) | 163.36 (4.05) | 233.91 (8.99) | 283.24 (11.26) | 53.00 (19.60) | 28.35 (9.59) |
| Treat | 21.86 (0.42) | 41.91*** (2.71) | –1.91 (–0.03) | 45.05*** (3.56) | 36.20 (0.85) | 28.87*** (2.40) |
| Gold × Treat | –0.49 (–0.51) | –0.12 (–0.98) | –0.01 (–0.02) | –0.39*** (–5.79) | –0.60 (–1.44) | –0.04 (–0.41) |
| Controls | Included | Included | Included | Included | Included | Included |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Covid news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 118 | 118 | 118 | 118 | 118 | 118 |
| Adj | 0.9665 | 0.9664 | 0.9595 | 0.9670 | 0.9698 | 0.9689 |
| Intercept | 150.07 (4.74) | 125.18 (3.39) | 141.01 (6.33) | 227.91 (10.38) | 54.07 (19.52) | 27.03 (6.14) |
| Treat | –37.36*** (–5.06) | 27.23*** (5.38) | –23.77*** (–3.43) | 2.22 (0.33) | –33.71*** (–5.03) | 25.45*** (6.05) |
| Crude oil × Treat | 0.21 (1.54) | 0.03 (0.67) | 0.55*** (4.95) | –0.15 (–4.22) | 0.21* (1.74) | –0.02 (–0.44) |
| Controls | Included | Included | Included | Included | Included | Included |
| Macro news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Covid news effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Election effect | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 118 | 118 | 118 | 118 | 118 | 118 |
| Adj | 0.9673 | 0.9662 | 0.9718 | 0.9648 | 0.9704 | 0.9690 |
Note(s): *** indicates significance at 1% level; ** indicates significance at 5% level; * indicates significance at 10% level. Variables with moderate-to-severe multicollinearity (VIF >10) are avoided in each model. The coefficient of the fixed effects is not reported. The sample period is the weekly observations from Jan’2020 to Mar’2022. T-statistics values are in parentheses
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