Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market
Table 11
QARDL estimation results: pandemic period (independent variable: IDEMV).
Quantile (τ)
0.25
0.50
0.75
Variables
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Short run
Const
4.0073
0.3767
2.4747
0.7833
56.9443
0.0000
AL_1
−0.9817
0.0000
−0.7820
0.0000
−0.7429
0.0000
AL_2
−0.0245
0.1067
0.0038
0.8989
0.0784
0.0713
AL_3
−0.0311
0.0415
−0.0545
0.0717
−0.0889
0.0414
AL_4
−0.0499
0.0010
0.0083
0.7803
0.1203
0.0054
IDEMV
−0.7733
0.0001
−1.7751
0.0000
−3.4640
0.0000
IDEMV_1
0.6116
0.0035
2.4019
0.0000
4.0713
0.0000
IDEMV_2
0.8150
0.0002
0.2587
0.5477
0.1780
0.7739
IDEMV_3
0.5957
0.0058
1.9761
0.0000
2.6656
0.0000
IDEMV_4
0.1140
0.5696
−0.2982
0.4541
−0.5025
0.3812
Long run
AL_2
−0.0250
0.1076
0.0049
0.8987
0.1055
0.0663
AL_3
−0.0316
0.0411
−0.0696
0.0721
−0.1197
0.0428
AL_4
−0.0509
0.0010
0.0107
0.7799
0.1619
0.0051
IDEMV
−0.7877
0.0001
−2.2699
0.0000
−4.6626
0.0000
IDEMV_1
0.6230
0.0035
3.0713
0.0000
5.4802
0.0000
IDEMV_2
0.8302
0.0001
0.3308
0.5449
0.2396
0.7728
IDEMV_3
0.6069
0.0055
2.5269
0.0000
3.5881
0.0000
IDEMV_4
0.1162
0.5687
−0.3813
0.4558
−0.6764
0.3850
Note. Table 11 reports the QARDL estimation results of the effect of IDEMV on the illiquidity market during the pandemic period that spans from December 31, 2019, to December 31, 2020. Significant at 10%; significant at 5%; significant at 1%.
