Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market
Table 4
QARDL estimation results: tranquil period (independent variable: EPU).
Quantile (τ)
0.25
0.50
0.75
Variables
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Short run
Const
0.1963
0.8464
21.3693
0.0106
26.3775
0.1319
AL_1
−0.9938
0.0000
−0.9495
0.0000
−0.8800
0.0000
EPU
−0.0272
0.0002
−0.2332
0.0001
−0.1394
0.2682
EPU_1
0.0032
0.6809
0.0636
0.3143
0.0324
0.8070
EPU_2
0.0173
0.0267
0.1086
0.0894
0.1997
0.1368
EPU_3
0.0075
0.3336
0.0628
0.3267
0.1478
0.2720
EPU_4
0.0123
0.0961
0.0141
0.8159
0.2059
0.1060
Long run
EPU.1
−0.0274
0.0002
−0.2456
0.0001
−0.1584
0.2720
EPU_1.1
0.0032
0.6807
0.0670
0.3157
0.0368
0.8073
EPU_2.1
0.0174
0.0261
0.1144
0.0896
0.2269
0.1406
EPU_3.1
0.0076
0.3327
0.0661
0.3243
0.1679
0.2685
EPU_4.1
0.0124
0.0949
0.0148
0.8156
0.2339
0.1039
Note. Table 4 reports the QARDL estimation results of the effect of EPU on the illiquidity market during the tranquil period that spans from January 01, 2019, to December 30, 2019. Significant at 10%; significant at 5%; significant at 1%.
