Table 4 The effects of COVID-19 on stock market crash risk
From: Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Variables | (1) | (2) | (3) |
|---|---|---|---|
Intercept | 0.0007 (0.4018) | 0.0010 (0.5655) | 0.0010 (0.5297) |
Skew(t−1) | 0.1982*** (6.1851) | 0.1909*** (5.8741) | 0.1918*** (5.8797) |
rCases(t−1) |  − 0.0245*** (− 3.0197) |  − 0.0340*** (− 3.4662) |  − 0.0345*** (− 3.4816) |
rCases(t−2) |  |  − 0.0170* (− 1.7227) |  − 0.0151 (− 1.3789) |
rCases(t−3) |  |  | 0.0037 (0.3760) |
N | 919 | 918 | 917 |
R2 | 0.0500 | 0.0528 | 0.0529 |
Adj-R2 | 0.0479 | 0.0497 | 0.0488 |
AIC |  − 2.9505 |  − 2.9505 |  − 2.9474 |
SC |  − 2.9347 |  − 2.9295 |  − 2.9211 |