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

Table 2

Correlation matrix.

	AL	EPU	INFECT	VIX
Panel A: tranquil period
AL	1.00	0.02	−0.05	0.39
EPU		1.00	0.03	0.36
INFECT			1.00	−0.03
VIX				1.00
Panel B: pandemic period
AL	1.00	0.04	0.20	0.52
EPU		1.00	0.69	0.57
INFECT			1.00	0.76
VIX				1.00

Note. Table 2 reports the correlation between all variables: the illiquidity market and the uncertainty indices. The tranquil period extends from 01 January 2019 to 30 December 2019. The pandemic period is from December 31, 2019, to December 31, 2020.