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 |