Original scientific paper
https://doi.org/10.1080/1331677X.2022.2142257
Covid-19 and stock market liquidity: international evidence
Muhammad Umar
Ghulame Rubbaniy
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.
Keywords
Covid-19; stock market liquidity; GARCH; VAR; BRIC
Hrčak ID:
306720
URI
Publication date:
30.4.2023.
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