Preventing crash in stock market: The role of economic policy uncertainty during COVID-19.

Autor: Dai PF; College of Management and Economics, Tianjin University, Tianjin, China.; School of Business, East China University of Science and Technology, Shanghai, China., Xiong X; College of Management and Economics, Tianjin University, Tianjin, China., Liu Z; Management School, Hainan University, Haikou, China., Huynh TLD; Chair of Behavioral Finance, WHU-Otto Beisheim School of Management, Vallendar, Germany.; School of Banking, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam., Sun J; School of Economics, Hainan University, Haikou, China.
Jazyk: angličtina
Zdroj: Financial innovation [Financ Innov] 2021; Vol. 7 (1), pp. 31. Date of Electronic Publication: 2021 Apr 28.
DOI: 10.1186/s40854-021-00248-y
Abstrakt: This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the significantly negative correlation between EPU and stock market crash risk, indicating the aggravation of EPU increase the crash risk. Moreover, the negative correlation gets stronger after the global COVID-19 outbreak, which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.
Competing Interests: Competing interestsThe authors declare that they have no competing interests.
(© The Author(s) 2021.)
Databáze: MEDLINE
Externí odkaz:
Nepřihlášeným uživatelům se plný text nezobrazuje