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

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 co...

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Autores principales: Baig, Ahmed S., Butt, Hassan Anjum, Haroon, Omair, Rizvi, Syed Aun R.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7381907/
https://www.ncbi.nlm.nih.gov/pubmed/32837381
http://dx.doi.org/10.1016/j.frl.2020.101701
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author Baig, Ahmed S.
Butt, Hassan Anjum
Haroon, Omair
Rizvi, Syed Aun R.
author_facet Baig, Ahmed S.
Butt, Hassan Anjum
Haroon, Omair
Rizvi, Syed Aun R.
author_sort Baig, Ahmed S.
collection PubMed
description 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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spelling pubmed-73819072020-07-28 Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic Baig, Ahmed S. Butt, Hassan Anjum Haroon, Omair Rizvi, Syed Aun R. Financ Res Lett Article 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. Elsevier Inc. 2021-01 2020-07-25 /pmc/articles/PMC7381907/ /pubmed/32837381 http://dx.doi.org/10.1016/j.frl.2020.101701 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Baig, Ahmed S.
Butt, Hassan Anjum
Haroon, Omair
Rizvi, Syed Aun R.
Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic
title Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic
title_full Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic
title_fullStr Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic
title_full_unstemmed Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic
title_short Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic
title_sort deaths, panic, lockdowns and us equity markets: the case of covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7381907/
https://www.ncbi.nlm.nih.gov/pubmed/32837381
http://dx.doi.org/10.1016/j.frl.2020.101701
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