COVID-19 and the liquidity network

Yasmine Farzami, Russell Gregory-Allen, Alexander Molchanov and Saba Sehrish

Finance Research Letters, 2021, vol. 42, issue C

Abstract: 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.

Keywords: COVID-19 pandemic; Liquidity interconnectedness; Lead-lag liquidity network; Granger-causality; Sector analysis (search for similar items in EconPapers)
JEL-codes: C51 C58 G01 G1 G12 G23 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000180

DOI: 10.1016/j.frl.2021.101937

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