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 8 The results of the augmented VAR estimation: Eq. (3)

Variable	Group 1	Variable	Group 2	Variable	Group 3
G_t1–1	1.0419^a	G_t2–1	0.9475^a	G_t3–1	0.8572^a
P_t1–1	22.1816	P_t2–1	−2.5867	P_t3–1	−7.5560
G_t1–2	−0.4049	G_t2–2	−0.3738	G_t3–2	−0.3429
P_t1–2	0.83528	P_t2–2	−15.3009	P_t3–2	−19.4786
G_t1–3	0.2575	G_t2–3	0.1294	G_t3–3	0.2056
P_t1–3	14.0258	P_t2–3	16.0701	P_t3–3	20.9271
G_t1–4	−0.2058	G_t2–4	−0.1458	G_t3–4	−0.0987
P_t1–4	−32.8371	P_t2–4	−14.3280	P_t3–4	−17.7680
G_t1–5	0.5034^c	G_t2–5	0.5085^c	G_t3–5	0.4119^c
P_t1–5	58.729	P_t2–5	19.7339	P_t3–5	23.3926
G_t1–6	−0.4226^c	G_t2–6	−0.4061^c	G_t3–6	−0.4240^c
P_t1–6	4.2763	P_t2–6	−30.5661	P_t3–6	−31.6223
G_t1–7	−0.0357	G_t2–7	−0.0076	G_t3–7	0.0390
P_t1–7	−63.3119^b	P_t2–7	−62.1916^b	P_t3–7	−50.3626^b

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