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

作　　者：Peng‑Fei Dai Xiong Xiong Zhifeng Liu Toan Luu Duc Huynh Jianjun Sun 

机构地区：[1]College of Management and Economics,Tianjin University,Tianjin,China [2]School of Business,East China University of Science and Technology,Shanghai,China [3]Management School,Hainan University,Haikou,China [4]Chair of Behavioral Finance,WHU-Otto Beisheim School of Management,Vallendar,Germany [5]School of Banking,University of Economics Ho Chi Minh City,Ho Chi Minh City,Vietnam [6]School of Economics,Hainan University,Haikou,China

出　　处：《Financial Innovation》2021年第1期654-668,共15页金融创新（英文）

基　　金：This research was supported by the National Natural Science Foundation of China(71861008,72063005,U1811462,71532009);the Natural Science Foundation of Hainan Province(718QN221,2019RC151);the Scientific Research Foundation of Hainan University(kyqd(sk)1809,kyqd1634).

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 GARCHS(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.

关 键 词：COVID-19 Economic policy uncertainty Crash risk SKEWNESS 

分 类 号：F42[经济管理—产业经济]