Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237262 
Year of Publication: 
2021
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 7 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2021 [Pages:] 1-15
Publisher: 
Springer, Heidelberg
Abstract: 
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.
Subjects: 
COVID-19
Crash risk
Economic policy uncertainty
Skewness
JEL: 
D80
E60
G10
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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