192 citations · 415 across the 7 of their papers we have counts for
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q-fin.GN2020★ 74 cited
Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
Peng-Fei Dai, Xiong Xiong, Zhifeng Liu +2
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 wi…
q-fin.GN2020★ 192 cited
The impact of COVID-19 on the stock market crash risk in China
Zhifeng Liu, Toan Luu Duc Huynh, Peng-Fei Dai
This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return dis…