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The COVID-19 Pandemic Effect on Risk and Return of Malaysian Tourism Industry

Table 3: Impacts of virus deaths on tourism stock return volatility

Variable OLS Qu5 Qu10 Qu20 Qu30 Qu40 Qu50 Qu60 Qu70 Qu80 Qu90 Qu95
C 1.737** 0.089 0.038 0.011 0.012* 0.020** 0.033*** 0.038*** 0.075*** 0.017*** 0.032*** 0.074***
Death -0.020 -0.011*** -0.042* -0.058* -0.074 -0.023 -0.040** -0.043** -0.042 -0.069* -0.015* -0.027
GRSI -0.001 0.046** 0.048* 0.089* 0.031* 0.020* 0.042*** 0.057*** 0.023 -0.051 0.083 0.093
Oil(1) 0.14* -0.064*** -0.014*** -0.032*** -0.056*** -0.073*** -0.070*** -0.001*** -0.019*** -0.030*** -0.004*** -0.077***
ExR(1) -0.036 0.063*** 0.041 -0.044 -0.085 -0.023* -0.024* -0.030 0.037 0.011 0.008 0.024
INF(1) -0.014** -0.041 0.024 0.011*** 0.068 0.011 0.013 -0.013 -0.015 -0.070*** -0.018*** -0.005***
Adj./Pseudo R 2 0.600 0.000 0.000 0.000 0.000 0.000 0.600 0.000 0.000 0.600 0.000 0.000
Obs 30432
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