Complexity

Research Article

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

Table 3

Unit root tests.


		AL	EPU	IDEMV	VIX

Panel A: tranquil period (PP)
At level
With constant	t-Statistic	−16.6092	−13.3368	−18.0249	−4.9418
	Prob.	0.0000	0.0000	0.0000	0.0000

With constant and trend	t-Statistic	−16.6078	−13.3210	−18.3519	−4.9714
	Prob.	0.0000	0.0000	0.0000	0.0003

Without constant and trend	t-Statistic	−14.5554	−3.4240	−16.8918	−1.4937
	Prob.	0.0000	0.0007	0.0000	0.1266
					n0

At first difference
		d(AL)	d(EPU)	IDEMV	d(VIX)
With constant	t-Statistic	−88.1957	−95.4565	−109.3908	−23.9863
	Prob.	0.0001	0.0001	0.0001	0.0000

With constant and trend	t-Statistic	−87.9956	−96.8844	−109.4468	−24.0661
	Prob.	0.0001	0.0001	0.0001	0.0000

Without constant and trend	t-Statistic	−88.4932	−95.0832	−109.2957	−23.9140
	Prob.	0.0001	0.0001	0.0001	0.0000


Panel B: pandemic period (PP)
At level
With constant	t-Statistic	−15.0292	−7.9223	−9.3105	−2.2678
	Prob.	0	0	0	0.1831
					n0
With constant and trend	t-Statistic	−14.8418	−7.9117	−9.3057	−2.3986
	Prob.	0	0	0	0.3796
					n0
Without constant and trend	t-Statistic	−12.7257	−1.9886	−4.7286	−0.6669
	Prob.	0	0.0449	0	0.4278
					n0

At first difference
		d(AL)	d(EPU)	d(IDEMV)	d(VIX)
With constant	t-Statistic	−83.5912	−72.3359	−57.482	−23.3603
	Prob.	0.0001	0.0001	0.0001	0

With constant and trend	t-Statistic	−83.7616	−79.0071	−58.3894	−23.4216
	Prob.	0.0001	0.0001	0.0001	0

Without constant and trend	t-Statistic	−83.7527	−72.2676	−57.3512	−23.3889
	Prob.	0.0001	0.0001	0.0001	0

Note. Table 3 reports the unit root statistics of all variables: the illiquidity market and the uncertainty indices. The tranquil period covers the period from 01 January 2019 to 30 December 2019. The pandemic period starts on 31 December 2019 and ends on 31 December 2020. Significant at 10%; significant at 5%; significant at 1%; no, not significant.