Muhammad Umar
Covid-19 and stock market liquidity: International evidence
Umar, Muhammad; Rubbaniy, Ghulame; Iqbal, Amjad; Rizvi, Syed Kumail Abbas; Xu, Yan
Authors
Dr. Ghulame Rubbaniy Ghulame.Rubbaniy@uwe.ac.uk
Senior Lecturer in Accounting and Finance
Amjad Iqbal
Syed Kumail Abbas Rizvi
Yan Xu
Abstract
This study analyzes the impact of Covid-19 on stock market liquidity of China and four worst hit countries by the pandemic. Using daily data for the stock market illiquidity spanning over July 1, 2019 to July 10, 2020 and the data for new cases and deaths over the period from December 31, 2019 to July 10, 2020, the results of our GARCH analysis show that liquidity in stock markets of all the sampled countries hit hard by the news of the Covid-19 outbreak. We find that for all sampled countries increase in illiquidity due to temporary shocks reverts to long term trend shortly, suggesting that the liquidity shocks due to the incidence of Covid-19 were short lived. The findings of our VAR analysis show an absence of any short-term relationship between Covid-19 new cases or deaths and illiquidity. Since the series are not integrated at same level, long-term relationship between Covid-19 and stock market illiquidity do not exist as well suggesting no evidence of the effect of Covid-19 on stock market liquidity.
Journal Article Type | Article |
---|---|
Acceptance Date | Oct 24, 2022 |
Online Publication Date | Nov 15, 2022 |
Publication Date | 2023 |
Deposit Date | Nov 20, 2023 |
Publicly Available Date | Nov 21, 2023 |
Journal | Economic Research-Ekonomska Istrazivanja |
Print ISSN | 1331-677X |
Electronic ISSN | 1848-9664 |
Publisher | Taylor and Francis Group |
Peer Reviewed | Peer Reviewed |
Volume | 36 |
Issue | 2 |
Article Number | 2142257 |
DOI | https://doi.org/10.1080/1331677X.2022.2142257 |
Public URL | https://uwe-repository.worktribe.com/output/11456428 |
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Covid-19 and stock market liquidity: International evidence
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Licence
http://creativecommons.org/licenses/by/4.0/
Publisher Licence URL
http://creativecommons.org/licenses/by/4.0/
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