COVID-19, Stock Liquidity, and Abnormal Returns

被引：0

作者：

Musunuru, Praveena ^{[1
]}

Jawed, Mohammad Shameem ^{[1
]}

机构：

[1] Indian Inst Management Visakhapatnam, Finance & Accounting Area, Visakhapatnam, Andhra Pradesh, India

来源：

REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES | 2023年 / 26卷 / 04期

关键词：

Stock liquidity; COVID-19; pandemic; event study; MARKET LIQUIDITY; CROSS-SECTION; TIME;

D O I：

10.1142/S021909152350025X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the relationship between ex-ante stock liquidity and abnormal returns during various phases of COVID-19 led market uncertainties in India. We find that the volume-based liquidity supports stock more significantly during the crisis than in periods of calm. However, contrary to existing empirical evidence, price-based liquidity penalizes stocks during a crisis. Moreover, during periods of calm and recovery, the inverse relationship of liquidity-abnormal return reverses. Further analysis shows that this change of price-based liquidity to abnormal return relationship is more prominent in firms with higher ex-ante liquidity. In contrast, highly illiquid firms appear immune.

引用

页数：24

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