COVID-19 and the liquidity network

We investigate the impact of the COVID-19 pandemic on liquidity interlinkages of US industry groups. We employ a lead-lag liquidity network method that allows us to analyse liquidity interrelationships beyond contemporaneous spillover effects. We document that sectors differ in their liquidity inter...

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Detalles Bibliográficos
Autores principales: Farzami, Yasmine, Gregory-Allen, Russell, Molchanov, Alexander, Sehrish, Saba
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8656191/
https://www.ncbi.nlm.nih.gov/pubmed/34903955
http://dx.doi.org/10.1016/j.frl.2021.101937
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author Farzami, Yasmine
Gregory-Allen, Russell
Molchanov, Alexander
Sehrish, Saba
author_facet Farzami, Yasmine
Gregory-Allen, Russell
Molchanov, Alexander
Sehrish, Saba
author_sort Farzami, Yasmine
collection PubMed
description We investigate the impact of the COVID-19 pandemic on liquidity interlinkages of US industry groups. We employ a lead-lag liquidity network method that allows us to analyse liquidity interrelationships beyond contemporaneous spillover effects. We document that sectors differ in their liquidity interactions during the pre-COVID period, with some sectors more interlinked than others. We also document that the crisis induced by COVID had a significant effect on the liquidity network, with all sectors becoming more interconnected relative to the pre-COVID period. The effect varies across industries, with the utilities sector being the most affected, and telecommunication services the least.
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spelling pubmed-86561912021-12-09 COVID-19 and the liquidity network Farzami, Yasmine Gregory-Allen, Russell Molchanov, Alexander Sehrish, Saba Financ Res Lett Article We investigate the impact of the COVID-19 pandemic on liquidity interlinkages of US industry groups. We employ a lead-lag liquidity network method that allows us to analyse liquidity interrelationships beyond contemporaneous spillover effects. We document that sectors differ in their liquidity interactions during the pre-COVID period, with some sectors more interlinked than others. We also document that the crisis induced by COVID had a significant effect on the liquidity network, with all sectors becoming more interconnected relative to the pre-COVID period. The effect varies across industries, with the utilities sector being the most affected, and telecommunication services the least. Elsevier Inc. 2021-10 2021-01-19 /pmc/articles/PMC8656191/ /pubmed/34903955 http://dx.doi.org/10.1016/j.frl.2021.101937 Text en © 2021 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
Farzami, Yasmine
Gregory-Allen, Russell
Molchanov, Alexander
Sehrish, Saba
COVID-19 and the liquidity network
title COVID-19 and the liquidity network
title_full COVID-19 and the liquidity network
title_fullStr COVID-19 and the liquidity network
title_full_unstemmed COVID-19 and the liquidity network
title_short COVID-19 and the liquidity network
title_sort covid-19 and the liquidity network
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8656191/
https://www.ncbi.nlm.nih.gov/pubmed/34903955
http://dx.doi.org/10.1016/j.frl.2021.101937
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