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

被引：59
作者：
Dai, Peng-Fei [1 ,2 ]
Xiong, Xiong [1 ]
Liu, Zhifeng [3 ]
Huynh, Toan Luu Duc [4 ,5 ]
Sun, Jianjun [6 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, Tianjin, Peoples R China
[2] East China Univ Sci & Technol, Sch Business, Shanghai, Peoples R China
[3] Hainan Univ, Sch Management, Haikou, Hainan, Peoples R China
[4] WHU Otto Beisheim Sch Management, Chair Behav Finance, Vallendar, Germany
[5] Univ Econ Ho Chi Minh City, Sch Banking, Ho Chi Minh City, Vietnam
[6] Hainan Univ, Sch Econ, Haikou, Hainan, Peoples R China
来源：
FINANCIAL INNOVATION | 2021年 / 7卷 / 01期
基金：
中国国家自然科学基金;
关键词：
COVID-19; Economic policy uncertainty; Crash risk; Skewness; VOLATILITY;
D O I：
10.1186/s40854-021-00248-y
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：15
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