Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic

Frontiers of Business Research in China

Table 7 The results of the augmented VAR estimation: Eq. (2)

Variable	Group 1	Variable	Group 2	Variable	Group 3
G_t1–1	−0.0029	G_t2–1	− 0.0040^b	G_t3–1	−0.0350^c
P_t1–1	−0.1325	P_t2–1	−0.1430	P_t3–1	−0.2340
O_t1–1	0.0009	O_t2–1	0.0017^c	O_t3–1	0.0009
G_t1–2	0.0019^c	G_t2–2	0.0013	G_t3–2	0.0019
P_t1–2	0.2694	P_t2–2	0.3039	P_t3–2	0.2327
O_t1–2	−0.0001	O_t2–2	− 0.0000	O_t3–2	− 0.0000
G_t1–3	0.0003	G_t2–3	0.0016	G_t3–3	−0.0001
P_t1–3	0.2626	P_t2–3	0.2960^c	P_t3–3	−0.2918^c
O_t1–3	−0.0019	O_t2–3	−0.2370^c	O_t3–3	0.0024
G_t1–4	−0.0004	G_t2–4	0.0002	G_t3–4	0.0004
P_t1–4	−0.2677	P_t2–4	−0.1994	P_t3–4	−0.0454
O_t1–4	0.0044^a	O_t2–4	0.0071^b	O_t3–4	0.0061^a
G_t1–5	−0.0012	G_t2–5	−0.0015	G_t3–5	−0.0021^c
P_t1–5	−0.0454^c	P_t2–5	−0.3344^c	P_t3–5	−0.3233^c
O_t1–5	−0.0031^c	O_t2–5	−0.0033	O_t3–5	0.0028
G_t1–6	0.0013	G_t2–6	0.0016	G_t3–6	0.0033^c
P_t1–6	−0.4094^c	P_t2–6	−0.4133^c	P_t3–6	−0.4564^b
O_t1–6	0.0017	O_t2–6	0.0001	O_t3–6	0.0009
G_t1–7	0.0006	G_t2–7	0.0001	G_t3–7	−0.0002
P_t1–7	0.2309	P_t2–7	0.1574	P_t3–7	0.0640
O_t1–7	−0.0001	O_t2–7	0.0000	O_t3–7	−0.0006

^asignificant at 0.1% level; ^bsignificant at 1% level; ^csignificant at 5% level