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

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...

Descripción completa

Detalles Bibliográficos
Autores principales: Dai, Peng-Fei, Xiong, Xiong, Liu, Zhifeng, Huynh, Toan Luu Duc, Sun, Jianjun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8079234/
https://www.ncbi.nlm.nih.gov/pubmed/35024279
http://dx.doi.org/10.1186/s40854-021-00248-y
_version_ 1783685182941822976
author Dai, Peng-Fei
Xiong, Xiong
Liu, Zhifeng
Huynh, Toan Luu Duc
Sun, Jianjun
author_facet Dai, Peng-Fei
Xiong, Xiong
Liu, Zhifeng
Huynh, Toan Luu Duc
Sun, Jianjun
author_sort Dai, Peng-Fei
collection PubMed
description 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.
format Online
Article
Text
id pubmed-8079234
institution National Center for Biotechnology Information
language English
publishDate 2021
publisher Springer Berlin Heidelberg
record_format MEDLINE/PubMed
spelling pubmed-80792342021-04-28 Preventing crash in stock market: The role of economic policy uncertainty during COVID-19 Dai, Peng-Fei Xiong, Xiong Liu, Zhifeng Huynh, Toan Luu Duc Sun, Jianjun Financ Innov Research 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. Springer Berlin Heidelberg 2021-04-28 2021 /pmc/articles/PMC8079234/ /pubmed/35024279 http://dx.doi.org/10.1186/s40854-021-00248-y Text en © The Author(s) 2021 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Research
Dai, Peng-Fei
Xiong, Xiong
Liu, Zhifeng
Huynh, Toan Luu Duc
Sun, Jianjun
Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
title Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
title_full Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
title_fullStr Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
title_full_unstemmed Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
title_short Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
title_sort preventing crash in stock market: the role of economic policy uncertainty during covid-19
topic Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8079234/
https://www.ncbi.nlm.nih.gov/pubmed/35024279
http://dx.doi.org/10.1186/s40854-021-00248-y
work_keys_str_mv AT daipengfei preventingcrashinstockmarkettheroleofeconomicpolicyuncertaintyduringcovid19
AT xiongxiong preventingcrashinstockmarkettheroleofeconomicpolicyuncertaintyduringcovid19
AT liuzhifeng preventingcrashinstockmarkettheroleofeconomicpolicyuncertaintyduringcovid19
AT huynhtoanluuduc preventingcrashinstockmarkettheroleofeconomicpolicyuncertaintyduringcovid19
AT sunjianjun preventingcrashinstockmarkettheroleofeconomicpolicyuncertaintyduringcovid19

Ejemplares similares