Original Data sources

SWB-I and SWB-J

Original data produced by the authors

WHO Data

WHO the data on the number of confirmed Covid-19 cases and deaths URL: https://covid19.who.int/WHO-COVID-19-global-data.csv"

Financial Data: Yahoo Finance

Symbols: ^N225 (NIKKEI) and FTSEMIB.MI downloaded through the quantmod R package

Google Trends Data

URL: https://www.google.com/trends downloaded through the gtrendsR R package

Air Quality Data

World Air Quality Index (WAQI) URL: https://aqicn.org/data-platform/covid19/

Facebook Covid symptoms data

https://covidmap.umd.edu/api.html

Google Mobility Data

Google Covid-19 Community Mobility Reports Google LLC ``Google Covid-19 Community Mobility Reports", URL: https://www.google.com/covid19/mobility/