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

Ahmed S. Baig, Hassan Anjum Butt, Omair Haroon and Syed Aun R. Rizvi

Finance Research Letters, 2021, vol. 38, issue C

Abstract: 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.

Keywords: COVID-19; Liquidity; Volatility; Pandemic; Lockdowns; Sentiment (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 H12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (98)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305821

DOI: 10.1016/j.frl.2020.101701

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