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Stock Liquidity and Firm Value in the Time of COVID-19 Pandemic

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  • Ping Zhang
  • Jieying Gao
  • Xingchao Li

Abstract

This paper investigates the impact of stock liquidity on firm value in the time of COVID-19 pandemic. Using data from A-share listed companies in China, we calculate the firm value of Cumulative Abnormal Returns through the event study method and stock liquidity by the Amihud illiquidity. We find that significant negative relationships between stock liquidity and firm value exist in the first three days of the COVID-19 outbreak, while significant positive relationships in the following days. We also find that these negative relationships are more significant in severely impacted regions, small companies, and non-state-owned enterprises.

Suggested Citation

  • Ping Zhang & Jieying Gao & Xingchao Li, 2021. "Stock Liquidity and Firm Value in the Time of COVID-19 Pandemic," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(6), pages 1578-1591, May.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:6:p:1578-1591
    DOI: 10.1080/1540496X.2021.1898368
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    Cited by:

    1. He, Xiqiong & Gu, Xiang & Liu, Hao, 2023. "Stock liquidity and controlling shareholders' encroachment of private interests: Evidence from China," Finance Research Letters, Elsevier, vol. 56(C).
    2. Liao Xu & Jilong Chen & Hao Xu, 2023. "Market sentiment to COVID‐19 and the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1121-1135, April.
    3. Farooque, Omar Al & Baghdadi, Ghasan & Trinh, Hai Hong & Khandaker, Sarod, 2023. "Stock liquidity during COVID-19 crisis: A cross-country analysis of developed and emerging economies, and economic policy uncertainty," Emerging Markets Review, Elsevier, vol. 55(C).
    4. Zhu, Mingxue & Zhang, Hua & Xing, Wanli & Zhou, Xuanru & Wang, Lu & Sun, Haoyu, 2023. "Research on price transmission in Chinese mining stock market: Based on industry," Resources Policy, Elsevier, vol. 83(C).
    5. Zengfu Li & Liuhua Feng & Zheng Pan & Hafiz M. Sohail, 2022. "ESG performance and stock prices: evidence from the COVID-19 outbreak in China," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-10, December.
    6. Wang, Hua & Xu, Liao & Sharma, Susan Sunila, 2021. "Does investor attention increase stock market volatility during the COVID-19 pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).

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