COVID-19, Stock Liquidity, and Abnormal Returns

Praveena Musunuru and Mohammad Shameem Jawed ()
Additional contact information
Praveena Musunuru: Finance & Accounting Area, Indian Institute of Management Visakhapatnam, Visakhapatnam, Andhra Pradesh, India
Mohammad Shameem Jawed: Finance & Accounting Area, Indian Institute of Management Visakhapatnam, Visakhapatnam, Andhra Pradesh, India

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2023, vol. 26, issue 04, 1-24

Abstract: 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.

Keywords: Stock liquidity; COVID-19 pandemic; event study (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021909152350025X
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:26:y:2023:i:04:n:s021909152350025x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021909152350025X

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().