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Table 8 Robustness results from EMU

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

Variables

(1)

(2)

(3)

(4)

Intercept

0.0007

(0.3979)

0.0010

(0.5710)

0.0009

(0.4628)

0.0009

(0.4676)

D_epid

  

 − 0.0011

(− 0.2324)

0.0009

(0.1803)

Skew(t−1)

0.1968***

(6.1082)

0.1890***

(5.8143)

0.1994***

(6.1919)

0.1912***

(5.8901)

rCases(t−1)

 − 0.0245***

(− 3.0279)

 − 0.0343***

(− 3.4989)

 − 0.0245***

(− 3.0096)

 − 0.0355***

(− 3.5455)

rCases(t−2)

 

 − 0.0174*

(− 1.7652)

 

 − 0.0190*

(− 1.8824)

rEMU(t)

 − 0.0034*

(− 1.8934)

 − 0.0035*

(− 1.9330)

 − 0.0023

(− 1.2211)

 − 0.0023

(− 1.2328)

D_epid* rEMU(t)

  

 − 0.0146**

(− 2.1462)

 − 0.0153**

(− 2.2533)

N

917

917

917

917

R2

0.0534

0.0567

0.0583

0.0619

Adj-R2

0.0503

0.0525

0.0531

0.0557

AIC

 − 2.9501

 − 2.9513

 − 2.9508

 − 2.9525

SC

 − 2.9290

 − 2.9250

 − 2.9193

 − 2.9157

  1. ***, **, * represent statistical significance at 1%, 5%, and 10% levels, respectively. The t-statistics are presented in the brackets