Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic

被引：272

作者：

Baig, Ahmed S. ^{[1
]}

Butt, Hassan Anjum ^{[2
]}

Haroon, Omair ^{[1
]}

Rizvi, Syed Aun R. ^{[1
]}

机构：

[1] Lahore Univ Management Sci LUMS, Suleman Dawood Sch Business, Lahore, Pakistan

[2] Missouri Southern State Univ, Robert W Plaster Coll Business, Joplin, MO 64801 USA

来源：

FINANCE RESEARCH LETTERS | 2021年 / 38卷

关键词：

COVID-19; Liquidity; Volatility; Pandemic; Lockdowns; Sentiment;

D O I：

10.1016/j.frl.2020.101701

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the impact of COVID-19 pandemic on the microstructure of US equity markets. In particular, we explain the liquidity and volatility dynamics via indexes that capture multiple dimensions of the pandemic. Our results suggest that increases in confirmed cases and deaths due to coronavirus are associated with a significant increase in market illiquidity and volatility. Similarly, declining sentiment and the implementations of restrictions and lockdowns contribute to the deterioration of liquidity and stability of markets.

引用

页数：9

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