Table 6 The effects of COVID-19 and EPU on stock market crash risk
From: Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Variables | (1) | (2) |
|---|---|---|
Intercept | 0.0010 (0.5618) | 0.0007 (0.3952) |
Skew(t−1) | 0.1935*** (5.9587) | 0.2011*** (6.2448) |
rCases(t−1) |  − 0.0335*** (− 3.4234) |  − 0.0241*** (− 2.9812) |
rCases(t−2) |  − 0.0167* (− 1.7002) |  |
rEPU(t) |  − 0.0086** (− 2.2788) |  − 0.0087** (− 2.2954) |
N | 917 | 917 |
R2 | 0.0582 | 0.0552 |
Adj-R2 | 0.0540 | 0.0521 |
AIC |  − 2.9529 |  − 2.9519 |
SC |  − 2.9266 |  − 2.9309 |