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

被引：0
作者：
Peng-Fei Dai
Xiong Xiong
Zhifeng Liu
Toan Luu Duc Huynh
Jianjun Sun
机构：
[1] Tianjin University,College of Management and Economics
[2] East China University of Science and Technology,School of Business
[3] Hainan University,Management School
[4] WHU-Otto Beisheim School of Management,Chair of Behavioral Finance
[5] University of Economics Ho Chi Minh City,School of Banking
[6] Hainan University,School of Economics
来源：
Financial Innovation | / 7卷
关键词：
COVID-19; Economic policy uncertainty; Crash risk; Skewness; D80; E60; G10; G32;
D O I：
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学科分类号：
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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