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

Table 12

QARDL estimation results: pandemic period (independent variables: EPU and VIX).

Quantile (τ)	0.25		0.50		0.75
Variables	Coeff	Pr (>|t|)	Coeff	Pr (>|t|)	Coeff	Pr (>|t|)
Short run
Const	−8.4561	0.1402	−95.0835	0.0000	−98.2765	0.0000
AL_1	−0.9272	0.0000	−0.9293	0.0000	−1.0359	0.0000
AL_2	−0.0361	0.0109	0.0015	0.9715	0.0133	0.7967
AL_3	−0.0439	0.0020	−0.1693	0.0001	−0.1450	0.0052
AL_4	−0.0476	0.0007	−0.1740	0.0000	−0.1213	0.0178
VIX	3.0882	0.0000	22.4112	0.0000	25.1829	0.0000
EPU	−0.0840	0.0002	−0.3139	0.0000	−0.4757	0.0000
VIX_1	1.6703	0.0763	−3.6870	0.1948	5.6904	0.0997
EPU_1	0.0005	0.9839	0.0944	0.1749	0.0306	0.7170
VIX_2	−3.2409	0.0006	−14.1663	0.0000	−22.3818	0.0000
EPU_2	0.0024	0.9185	−0.0245	0.7270	−0.0201	0.8136
VIX_3	0.9597	0.2976	−3.8523	0.1667	−5.8240	0.0853
EPU_3	0.0742	0.0011	0.0313	0.6476	0.1244	0.1350
VIX_4	−1.1686	0.1253	10.2450	0.0000	14.2480	0.0000
EPU_4	0.0037	0.8561	−0.0781	0.2091	−0.1733	0.0221
Long run
AL_2	−0.0389	0.0106	0.0016	0.9715	0.0129	0.7965
AL_3	−0.0473	0.0018	−0.1821	0.0001	−0.1400	0.0050
AL_4	−0.0513	0.0006	−0.1872	0.0000	−0.1171	0.0162
VIX	3.3305	0.0000	24.1163	0.0000	24.3101	0.0000
EPU	−0.0906	0.0001	−0.3377	0.0000	−0.4592	0.0000
VIX_1	1.8014	0.0724	−3.9675	0.2050	5.4932	0.0890
EPU_1	0.0005	0.9839	0.1016	0.1782	0.0295	0.7175
VIX_2	−3.4951	0.0005	−15.2441	0.0000	−21.6061	0.0000
EPU_2	0.0026	0.9184	−0.0263	0.7272	−0.0194	0.8137
VIX_3	1.0349	0.2980	−4.1454	0.1629	−5.6222	0.0819
EPU_3	0.0800	0.0011	0.0337	0.6477	0.1200	0.1363
VIX_4	−1.2603	0.1242	11.0244	0.0000	13.7542	0.0000
EPU_4	0.0040	0.8560	−0.0840	0.2122	−0.1673	0.0242

Note. Table 12 reports the QARDL estimation results of the effect of EPU and VIX 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%.