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

Table 5: Impacts of COVID-19 vaccination progress on tourism stock return volatility risk

Variable OLS Qu5 Qu10 Qu20 Qu30 Qu40 Qu50 Qu60 Qu70 Qu80 Qu90 Qu95
C 2.319 -0.002 0.014 0.038 0.086 0.024** 0.018* 0.028* 0.027* 0.029 0.098* 0.225*
VP -1.97*** -0.014*** -0.016*** -0.015*** -0.021*** -0.017* -0.016* -0.028*** -0.034** -0.060*** -0.029*** -0.070***
GRSI -0.022*** -0.015*** -0.013*** -0.012* -0.045*** -0.053*** -0.033* -0.046** -0.071*** -0.010*** -0.048*** -0.012***
Oil(1) 0.84 0.006 0.013 0.012 0.037 0.010* 0.058 0.059 0.091 0.088 0.034 0.077
ExR(1) 0.191*** 0.012*** 0.015*** 0.076 0.018* 0.073*** 0.085*** 0.097*** 0.010*** 0.067* 0.021 0.049
INF(1) 0.006 0.041*** 0.073*** 0.012 0.058 0.083 0.034 0.076 0.012 0.033* 0.015*** 0.042***
Adj./Pseudo R 2 0.500 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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