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

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.

SUBMITTER: Baig AS

PROVIDER: S-EPMC7381907 | biostudies-literature | 2021 Jan

REPOSITORIES: biostudies-literature

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

Baig Ahmed S AS Butt Hassan Anjum HA Haroon Omair O Rizvi Syed Aun R SAR

Finance research letters 20200725

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 deteri ...[more]

PMID: 32837381

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