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

Table 1

Descriptive statistics.

	Mean	Median	Max	Min	SD	Skewness	Kurtosis	Jarque–Bera	Observations
Panel A: tranquil period
AL	51.1	26.6	386.8	0.0	67.5	2.1	8.6	739.8	364
EPU	108.9	100.3	386.2	4.1	52.3	1.2	5.8	216.5	364
IDEMV	0.6	0.0	5.7	0.0	0.8	2.1	9.5	920.2	364
VIX	15.3	14.9	25.5	11.5	2.6	1.0	3.8	65.6	364
Panel B: pandemic period
AL	124.9	60.8	1337.4	0.0	184.7	2.9	13.8	2275.762	366
EPU	303.6	276.8	861.1	22.3	160.7	0.7	3.2	33.12278	366
IDEMV	22.6	19.0	112.9	0.0	17.2	1.5	6.5	318.8119	366
VIX	28.9	26.4	82.7	12.1	12.1	1.6	6.6	357.5087	366

Note. Table 1 reports descriptive statistics including mean, median, standard deviation (SD), skewness, kurtosis, minimum (Min), maximum (Max) Jarque–Bera (JB), and number of observations (Obs) of daily market innovations of illiquidity and uncertainty indices. The tranquil period runs from 01 January 2019 to 30 December 2019. The pandemic period runs from 31 December 2019 to 31 December 2020.