Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Abstract This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2021-04-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-021-00248-y |