Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market
Table 13
QARDL estimation results: pandemic period (independent variables: EPU and IDEMV).
Quantile (τ)
0.25
0.50
0.75
Variables
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Short run
Const
2.4325
0.6334
21.3042
0.1341
90.3051
0.0001
AL_1
−0.9796
0.0000
−0.8353
0.0000
−0.8095
0.0000
IDEMV
−0.6585
0.0010
−1.2387
0.0254
−1.9756
0.0243
EPU
−0.0553
0.0381
−0.1172
0.1141
−0.1849
0.1153
IDEMV_1
0.6359
0.0027
2.6766
0.0000
4.0234
0.0000
EPU_1
−0.0352
0.1917
−0.0148
0.8434
−0.0200
0.8658
IDEMV_2
0.6870
0.0017
0.3781
0.5324
1.9227
0.0455
EPU_2
−0.0312
0.2481
0.0418
0.5778
−0.0963
0.4179
IDEMV_3
0.6953
0.0012
2.3078
0.0001
3.1941
0.0007
EPU_3
0.0744
0.0058
0.0386
0.6057
0.0700
0.5546
IDEMV_4
−0.0427
0.8341
0.2149
0.7049
0.7494
0.4043
EPU_4
0.0064
0.8046
−0.1121
0.1189
−0.1503
0.1861
Long run
IDEMV
−0.6722
0.0009
−1.4830
0.0267
−2.4404
0.0277
EPU
−0.0565
0.0365
−0.1403
0.1094
−0.2284
0.1092
IDEMV_1
0.6492
0.0027
3.2046
0.0000
4.9700
0.0001
EPU_1
−0.0359
0.1908
−0.0177
0.8433
−0.0248
0.8656
IDEMV_2
0.7013
0.0014
0.4527
0.5290
2.3751
0.0386
EPU_2
−0.0318
0.2472
0.0500
0.5778
−0.1190
0.4175
IDEMV_3
0.7098
0.0010
2.7629
0.0001
3.9457
0.0006
EPU_3
0.0760
0.0057
0.0462
0.6060
0.0864
0.5557
IDEMV_4
−0.0436
0.8341
0.2573
0.7035
0.9257
0.3972
EPU_4
0.0065
0.8045
−0.1342
0.1187
−0.1857
0.1870
Note. Table 12 reports the QARDL estimation results of the effect of EPU and 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%.
