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Government intervention during the Covid-19 pandemic and stock liquidity and volatility: Evidence from France

Author

Listed:
  • Sinda Hadhri

    (UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University))

  • Sadek Ouhadouch

    (UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University))

Abstract

In this paper, we examine the impact of government responses to Covid-19 pandemic on stock liquidity and volatility using data on the CAC40 index during the period from 22 January 2020 to 30 November 2020. We demonstrate that, at a stock level, the direct effect of policy actions on stock volatility and liquidity is more pronounced during the period of the first wave of the pandemic. When controlling for the size of the firm, we show that the influence of some stringency policies as well as the testing policy is weaker for larger firms. Our results also show that the indirect impact of these interventions on stock volatility weakens and even fades away during the second wave while it remains strong for stock liquidity. Our findings provide significant implications for investors and policy makers.

Suggested Citation

  • Sinda Hadhri & Sadek Ouhadouch, 2025. "Government intervention during the Covid-19 pandemic and stock liquidity and volatility: Evidence from France," Post-Print hal-05493941, HAL.
    • Handle: RePEc:hal:journl:hal-05493941
    DOI: 10.54695/bmi.181.002
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