Chebbi, Kaouther and Ammer, Mohammed Abdullah and Hameed, Affan (2021) The COVID-19 pandemic and stock liquidity: Evidence from S&P 500. The Quarterly Review of Economics and Finance, 81. pp. 134-142. ISSN 1062-9769
Type of Research: | Article |
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Creators: | Chebbi, Kaouther and Ammer, Mohammed Abdullah and Hameed, Affan |
Description: | This study examines the influence of the COVID-19 pandemic on the stock liquidity of S&P 500 firms. We construct a daily data set for stock liquidity and the numbers of COVID-19 reported cases and deaths for the period from 1 January 2020 to 31 December 2020. The regression results show that there is a significant negative relationship between COVID-19 (as measured by the daily growth in the numbers of cases and deaths) and stock liquidity, implying that the COVID-19 pandemic decreases firm liquidity. Furthermore, our analysis reveals a significant difference in liquidity between sectors. In addition, our results remain robust to the use of an alternative proxy for liquidity and to alternative estimation approaches. The results of this study will allow key players in the stock market to recognize and forecast the behavior of stock liquidity during periods marked by pandemic diseases. |
Official Website: | https://www.sciencedirect.com/science/article/pii/S1062976921000995 |
Keywords/subjects not otherwise listed: | COVID-19, Stock liquidity, Financial market, S&P 500 |
Publisher/Broadcaster/Company: | Elsevier |
Your affiliations with UAL: | Colleges > London College of Fashion |
Date: | 12 June 2021 |
Digital Object Identifier: | 10.1016/j.qref.2021.05.008 |
Date Deposited: | 22 Jul 2022 15:29 |
Last Modified: | 22 Jul 2022 15:29 |
Item ID: | 18596 |
URI: | https://ualresearchonline.arts.ac.uk/id/eprint/18596 |
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