Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market
Table 6
QARDL estimation results: tranquil period (independent variable: IDEMV).
Quantile (τ)
0.25
0.50
0.75
Variables
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Short run
Const
0.0000
1.0000
14.2360
0.0229
71.4837
0.0000
AL_1
−1.0000
0.0000
−0.8988
0.0000
−0.8515
0.0000
IDEMV
0.0000
1.0000
−5.0280
0.2073
−8.7134
0.2067
IDEMV_1
0.0000
1.0000
7.1495
0.0721
5.6660
0.4092
IDEMV_2
0.0000
1.0000
−4.1803
0.2914
−9.9595
0.1466
IDEMV_3
0.0000
1.0000
5.1488
0.2083
−1.4442
0.8382
IDEMV_4
2.8173
0.0097
10.2229
0.0131
6.8548
0.3345
Long run
IDEMV
0.0000
1.0000
−5.5942
0.2054
−10.2326
0.2054
IDEMV_1
0.0000
1.0000
7.9547
0.0739
6.6539
0.4121
IDEMV_2
0.0000
1.0000
−4.6510
0.2931
−11.6959
0.1533
IDEMV_3
0.0000
1.0000
5.7286
0.2107
−1.6960
0.8379
IDEMV_4
2.8173
0.0094
11.3741
0.0138
8.0499
0.3373
Note. Table 6 reports the QARDL estimation results of the effect of IDEMV 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%.
