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

Ahmed S. Baig; Hassan Anjum Butt; Omair Haroon; Syed Aun R. Rizvi

doi:10.1016/j.frl.2020.101701

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

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

Finance Department

Research output: Contribution to journal › Article › peer-review

308 Scopus citations

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.

Original language	English
Article number	101701
Journal	Finance Research Letters
Volume	38
DOIs	https://doi.org/10.1016/j.frl.2020.101701
State	Published - Jan 2021

Keywords

COVID-19
Liquidity
Lockdowns
Pandemic
Sentiment
Volatility

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10.1016/j.frl.2020.101701

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

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.",

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AU - Rizvi, Syed Aun R.

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KW - Lockdowns

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KW - Sentiment

KW - Volatility

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ER -

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

Abstract

Keywords

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