Illiquidity, Uncertainty Indices, and COVID-19 Outbreak Conditions: Empirical Evidence from the US Financial Market

Kais Tissaoui, Besma Hkiri, Taha Zaghdoudi and Jamel Azibi ()
Additional contact information
Kais Tissaoui: University of Hail
Besma Hkiri: UTM - Tunis El Manar University [University of Tunis El Manar] [Tunisia] = Université de Tunis El Manar [Tunisie] = جامعة تونس المنار (ar)
Taha Zaghdoudi: UCAR - Université de Carthage (Tunisie)
Jamel Azibi: UJ - Université de Jendouba

Post-Print from HAL

Abstract: In this paper, wavelet coherences and quantile autoregressive distributed lag (QARDL) approaches are used to study the effect of economic policy uncertainty (EPU), infectious disease EMV tracker (IDEMV), and implied volatility (VIX) on illiquidity during the tranquil and COVID-19 epidemic periods in the US financial market. Our results show that lagged EPU, current VIX, and lagged VIX positively affect illiquidity during the calm period, while the lagged EPU and current VIX decrease illiquidity during the pandemic period. Furthermore, infectious diseases in the financial market during the pandemic crisis play a significant role in instantaneously improving liquidity, while it was not significant during the tranquil period. Similarly, we suggest that with the combined effect of the EPU and the VIX, the uncertainty caused by implied volatility decreases liquidity in a lagged and contemporaneous manner, while an improvement in liquidity is revealed in the case of the EPU.

Date: 2022-08-08
References: Add references at CitEc
Citations:

Published in Complexity, 2022, 2022, pp.1-23. ⟨10.1155/2022/2818633⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04363734

DOI: 10.1155/2022/2818633

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().