Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market
Table 8
QARDL estimation results: tranquil 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
−1.2465
0.3125
15.8573
0.1255
31.3590
0.1686
AL_1
−0.9920
0.000
−0.9466
0.000
−0.8889
0.000
IDEMV
0.0114
0.9799
−4.6207
0.2254
−3.1316
0.7088
EPU
−0.0373
0.0000
−0.2005
0.0041
−0.1317
0.3895
IDEMV_1
0.7716
0.0887
5.7665
0.1287
0.2072
0.9802
EPU_1
0.0080
0.3614
0.0534
0.4654
0.0250
0.8766
IDEMV_2
−0.4782
0.2894
−4.8139
0.2032
−7.3407
0.3779
EPU_2
0.0146
0.0995
0.0767
0.2996
0.1812
0.2659
IDEMV_3
1.0915
0.0198
4.6155
0.2383
−5.0094
0.5608
EPU_3
0.0222
0.0123
0.0823
0.2664
0.1750
0.2833
IDEMV_4
2.7081
0.000
10.6161
0.0071
6.5695
0.4475
EPU_4
0.0083
0.3208
0.0184
0.7929
0.1709
0.2687
Long run
IDEMV
0.0115
0.9799
−4.8813
0.2237
−3.5231
0.7081
EPU
−0.0376
0.0000
−0.2118
0.0044
−0.1481
0.3929
IDEMV_1
0.7778
0.0879
6.0919
0.1303
0.2331
0.9802
EPU_1
0.0080
0.3609
0.0564
0.4664
0.0281
0.8766
IDEMV_2
−0.4820
0.2888
−5.0855
0.2046
−8.2584
0.3822
EPU_2
0.0147
0.0986
0.0811
0.2997
0.2039
0.2696
IDEMV_3
1.1003
0.0194
4.8759
0.2404
−5.6356
0.5593
EPU_3
0.0224
0.0117
0.0870
0.2636
0.1968
0.2802
IDEMV_4
2.7299
0.000
11.2151
0.0075
7.3907
0.4496
EPU_4
0.0084
0.3199
0.0194
0.7925
0.1922
0.2659
Note. Table 8 reports the QARDL estimation results of the effect of EPU and 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%.
