COVID-19, economic policy uncertainty and stock market crash risk

COVID-19, economic policy uncertainty and stock market crash risk
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发表时间：
2020-10
期刊：
arXiv: General Finance
影响因子：
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通讯作者：
Zhifeng Liu;T. Huynh;Jianjun Sun;Peng-Fei Dai
Zhifeng Liu;T. Huynh;Jianjun Sun;Peng-Fei Dai
中科院分区：
其他
文献类型：
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作者：
Zhifeng Liu;T. Huynh;Jianjun Sun;Peng-Fei Dai

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本文研究了 COVID-19 大流行期间经济政策不确定性（EPU）对美国股市崩盘风险的影响。为此，我们使用GARCH-S（GARCH with skewness）模型来估计每日偏度，作为股市崩盘风险的代理。实证结果显示EPU与股市崩盘风险显着负相关，说明EPU的加剧会增加股市崩盘风险。而且，全球Covid-19疫情爆发后，负相关性变得更强，这表明疫情期间美国股市崩盘风险将更多地受到EPU的影响。
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.