COVID-19, Stock Liquidity, and Abnormal Returns

IF 0.3 Q4 BUSINESS, FINANCE

Review of Pacific Basin Financial Markets and Policies Pub Date : 2023-11-03 DOI:10.1142/s021909152350025x

Praveena Musunuru, Mohammad Shameem Jawed

引用次数: 0

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.

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COVID-19，股票流动性和异常收益

本文研究了在印度COVID-19导致的市场不确定性的各个阶段，事前股票流动性与异常回报之间的关系。我们发现，在危机期间，基于量的流动性对股票的支持作用比平静时期更为显著。然而，与现有的经验证据相反，基于价格的流动性在危机期间对股票不利。此外，在平静期和恢复期，流动性与异常收益的反向关系发生反转。进一步分析表明，在事前流动性较高的企业中，这种基于价格的流动性向异常收益关系的转变更为突出。相比之下，流动性差的公司似乎不受影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Pacific Basin Financial Markets and Policies BUSINESS, FINANCE-

CiteScore

1.30

自引率

11.10%

发文量

期刊介绍： This journal concentrates on global interdisciplinary research in finance, economics and accounting. The major topics include: 1. Business, economic and financial relations among the Pacific rim countries. 2. Financial markets and industries. 3. Options and futures markets of the United States and other Pacific rim countries. 4. International accounting issues related to U.S. companies investing in Pacific rim countries. 5. The issue of and strategy for developing Tokyo, Taipei, Shanghai, Sydney, Seoul, Hong Kong, Singapore, Kuala Lumpur, Bangkok, Jakarta, and Manila as international or regional financial centers. 6. Global monetary and foreign exchange policy, and 7. Other high quality interdisciplinary research in global accounting, business, economics and finance.