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

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Listed:
  • Baig, Ahmed S.
  • Butt, Hassan Anjum
  • Haroon, Omair
  • Rizvi, Syed Aun R.

Abstract

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.

Suggested Citation

  • Baig, Ahmed S. & Butt, Hassan Anjum & Haroon, Omair & Rizvi, Syed Aun R., 2021. "Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305821
    DOI: 10.1016/j.frl.2020.101701
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    References listed on IDEAS

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    More about this item

    Keywords

    COVID-19; Liquidity; Volatility; Pandemic; Lockdowns; Sentiment;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management

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