Table 9 Robustness results from EMV_ID
From: Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Variables | (1) | (2) | (3) | (4) |
|---|---|---|---|---|
Intercept | 0.0007 (0.4020) | 0.0011 (0.5735) | 0.0009 (0.4625) | 0.0009 (0.4672) |
D_epid |  |  |  − 0.0009 (− 0.1838) | 0.0011 (0.2189) |
Skew(t−1) | 0.1987*** (6.1635) | 0.1909*** (5.8727) | 0.2000*** (6.2186) | 0.1919*** (5.9194) |
rCases(t−1) |  − 0.0236*** (− 2.9120) |  − 0.0333*** (− 3.3943) |  − 0.0208** (− 2.5268) |  − 0.0314*** (− 3.1276) |
rCases(t−2) |  |  − 0.0172* (− 1.7492) |  |  − 0.0185* (− 1.8390) |
rEMV_ID(t) |  − 0.0063 (− 1.5778) |  − 0.0064 (1.6081) |  − 0.0014 (− 0.3116) |  − 0.0014 (− 0.3139) |
D_epid* rEMV_ID(t) |  |  |  − 0.0258** (− 2.5437) |  − 0.0265*** (− 2.6126) |
N | 917 | 917 | 917 | 917 |
R2 | 0.0523 | 0.0555 | 0.0590 | 0.0625 |
Adj-R2 | 0.0492 | 0.0513 | 0.0539 | 0.0564 |
AIC |  − 2.9489 |  − 2.9500 |  − 2.9516 |  − 2.9532 |
SC |  − 2.9278 |  − 2.9237 |  − 2.9201 |  − 2.9164 |