Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries
Anas Alaoui Mdaghri,
Abdessamad Raghibi (),
Cuong Nguyen Thanh and
Review of Behavioral Finance, 2020, vol. 13, issue 1, 51-68
Purpose - The purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions. Design/methodology/approach - The author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020. Findings - The regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis confirmed that COVID-19 had a significant and negative impact of stock market liquidity. Research limitations/implications - This paper confirms that the global coronavirus pandemic has decreased the stock market liquidity in terms of both the depth and the tightness dimensions. Originality/value - While most empirical papers focused on the impact of the COVID-19 global pandemic on stock market returns, this paper investigated liquidity chock at firm level in the MENA region using both tightness and depth dimensions.
Keywords: Coronavirus; Stock market; Liquidity; MENA; G01; G40; G41 (search for similar items in EconPapers)
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