Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market
Table 9
QARDL estimation results: pandemic period (independent variable: EPU).
Quantile (τ)
0.25
0.50
0.75
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Coeff
Pr (>|t|)
Short run
Const
3.1772
0.4107
12.5942
0.3070
43.4451
0.0305
AL_1
−0.8872
0.0000
−0.7102
0.0000
−0.5770
0.0000
AL_2
−0.0137
0.1727
−0.0030
0.9253
0.1832
0.0005
AL_3
−0.0239
0.0155
−0.0586
0.0629
−0.1182
0.0211
AL_4
−0.0327
0.0008
−0.0109
0.7253
0.1859
0.0002
EPU
−0.0150
0.3569
−0.1049
0.0444
−0.3025
0.0004
EPU_1
0.0387
0.0153
0.2112
0.0000
0.4938
0.0000
Long run
AL_2.1
−0.0155
0.1738
−0.0042
0.9253
0.3175
0.0002
AL_3.1
−0.0270
0.0152
−0.0825
0.0638
−0.2049
0.0242
AL_4.1
−0.0368
0.0008
−0.0153
0.7256
0.3221
0.0003
EPU.1
−0.0169
0.3557
−0.1478
0.0423
−0.5242
0.0004
EPU_1.1
0.0436
0.0146
0.2975
0.0000
0.8557
0.0000
Note. Table 9 reports the QARDL estimation results of the effect of EPU on the illiquidity market during the pandemic period that spans from December 31, 2019, to December 31, 2020. Significant at 10%; significant at 5%; significant at 1%.
