COVID-19, Stock Liquidity, and Abnormal Returns

被引：0

作者：

Musunuru, Praveena ^{[1
]}

Jawed, Mohammad Shameem ^{[1
]}

机构：

[1] Indian Inst Management Visakhapatnam, Finance & Accounting Area, Visakhapatnam, Andhra Pradesh, India

来源：

REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES | 2023年 / 26卷 / 04期

关键词：

Stock liquidity; COVID-19; pandemic; event study; MARKET LIQUIDITY; CROSS-SECTION; TIME;

D O I：

10.1142/S021909152350025X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the relationship between ex-ante stock liquidity and abnormal returns during various phases of COVID-19 led market uncertainties in India. We find that the volume-based liquidity supports stock more significantly during the crisis than in periods of calm. However, contrary to existing empirical evidence, price-based liquidity penalizes stocks during a crisis. Moreover, during periods of calm and recovery, the inverse relationship of liquidity-abnormal return reverses. Further analysis shows that this change of price-based liquidity to abnormal return relationship is more prominent in firms with higher ex-ante liquidity. In contrast, highly illiquid firms appear immune.

引用

页数：24

共 40 条

[1] Stock liquidity during COVID-19 crisis: A cross-country analysis of developed and emerging economies, and economic policy uncertainty [J].

Al Farooque, Omar ;

Baghdadi, Ghasan ;

Trinh, Hai Hong ;

Khandaker, Sarod .

EMERGING MARKETS REVIEW, 2023, 55

[2] Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns [J].

Al-Awadhi, Abdullah M. ;

Alsaifi, Khaled ;

Al-Awadhi, Ahmad ;

Alhammadi, Salah .

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2020, 27

[3] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

[4] LIQUIDITY AND THE 1987 STOCK-MARKET CRASH [J].

AMIHUD, Y ;

MENDELSON, H ;

WOOD, RA .

JOURNAL OF PORTFOLIO MANAGEMENT, 1990, 16 (03) :65-69

[5]

Amihud Y., 1986, FINANC ANAL J, V43, P43, DOI [10.2469/faj.v42.n3.43, DOI 10.2469/FAJ.V42.N3.43]

[6] Illiquidity and Stock Returns II: Cross-section and Time-series Effects [J].

Amihud, Yakov ;

Noh, Joonki .

REVIEW OF FINANCIAL STUDIES, 2021, 34 (04) :2101-2123

[7] How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms? [J].

Ammari, Aymen ;

Chebbi, Kaouther ;

Ben Arfa, Nouha .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 88

[8] Liquidity and Return Relationships in an Emerging Market [J].

Batten, Jonathan A. ;

Xuan Vinh Vo .

EMERGING MARKETS FINANCE AND TRADE, 2014, 50 (01) :5-21

[9]

Belsley DA., 1980, Regression diagnostics

[10]

identifying influence data and source of collinearity

← 1 2 3 4 →