Impact of Coronavirus on liquidity in financial markets

We examine the liquidity impact of the COVID-19 Pandemic upon equity markets in the USA, UK, Brazil, China, Germany and Spain. We establish that the pandemic causes a short-term loss in liquidity, confirmed by the significant increases in bid-ask spreads. Further, analysing long-term financial stabi...

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Autores principales: Gofran, Ruhana Zareen, Gregoriou, Andros, Haar, Lawrence
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9013696/
http://dx.doi.org/10.1016/j.intfin.2022.101561
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author Gofran, Ruhana Zareen
Gregoriou, Andros
Haar, Lawrence
author_facet Gofran, Ruhana Zareen
Gregoriou, Andros
Haar, Lawrence
author_sort Gofran, Ruhana Zareen
collection PubMed
description We examine the liquidity impact of the COVID-19 Pandemic upon equity markets in the USA, UK, Brazil, China, Germany and Spain. We establish that the pandemic causes a short-term loss in liquidity, confirmed by the significant increases in bid-ask spreads. Further, analysing long-term financial stability using price impact ratios, shows that for China alone, there is an impact of COVID-19. Also, examination of spread decomposition reveals the role of information asymmetry in the widening of spreads, rather than changes in cost of trading around the news of the pandemic. This finding holds for all of the observed capital markets with the exception of China.
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spelling pubmed-90136962022-04-18 Impact of Coronavirus on liquidity in financial markets Gofran, Ruhana Zareen Gregoriou, Andros Haar, Lawrence Journal of International Financial Markets, Institutions and Money Article We examine the liquidity impact of the COVID-19 Pandemic upon equity markets in the USA, UK, Brazil, China, Germany and Spain. We establish that the pandemic causes a short-term loss in liquidity, confirmed by the significant increases in bid-ask spreads. Further, analysing long-term financial stability using price impact ratios, shows that for China alone, there is an impact of COVID-19. Also, examination of spread decomposition reveals the role of information asymmetry in the widening of spreads, rather than changes in cost of trading around the news of the pandemic. This finding holds for all of the observed capital markets with the exception of China. Elsevier B.V. 2022-05 2022-04-18 /pmc/articles/PMC9013696/ http://dx.doi.org/10.1016/j.intfin.2022.101561 Text en © 2022 Elsevier B.V. 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
Gofran, Ruhana Zareen
Gregoriou, Andros
Haar, Lawrence
Impact of Coronavirus on liquidity in financial markets
title Impact of Coronavirus on liquidity in financial markets
title_full Impact of Coronavirus on liquidity in financial markets
title_fullStr Impact of Coronavirus on liquidity in financial markets
title_full_unstemmed Impact of Coronavirus on liquidity in financial markets
title_short Impact of Coronavirus on liquidity in financial markets
title_sort impact of coronavirus on liquidity in financial markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9013696/
http://dx.doi.org/10.1016/j.intfin.2022.101561
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