Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market

Figure 3

The combined effect of EPU and VIX on illiquidity (tranquil period). Note: this figure represents the combined effect of between EPU and VIX on US illiquidity during tranquil period. The black contour represents the regions in which the spectrum is significant at the 5% level against red noise. The cone of influence denoted as COI is designated by the lighter shade which delineates the high power regions. Time and scale (days) are represented on the horizontal and vertical axes, respectively. Arrows pointed to the right (resp. left) signify that the variables are in phase (out of phase). If arrows move to the right and up (resp. down), the first variable is the driver (resp. follower). By contrast, if arrows move to the left and up (down), the second variable is leading (resp. lagging).