COVID-19大流行与股票市场:流动性、价格效率和交易

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2023.100803

Kee H. Chung , Chairat Chuwonganant

{"title":"COVID-19大流行与股票市场:流动性、价格效率和交易","authors":"Kee H. Chung , Chairat Chuwonganant","doi":"10.1016/j.finmar.2023.100803","DOIUrl":null,"url":null,"abstract":"<div><p>This paper shows that the COVID-19 pandemic is associated with a decrease in liquidity and increases in price efficiency and informed trading before the NYSE closed its trading floor. The closure of the trading floor led to reductions in liquidity, price efficiency, and informed trading on the NYSE, and its subsequent reopening led to increases in these variables. The effects of the pandemic and the trading floor on price efficiency can be explained, at least in part, by their impacts on liquidity and informed trading. The effects on liquidity and price efficiency are fully reversed after the NYSE reopened its trading floor.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"64 ","pages":"Article 100803"},"PeriodicalIF":2.1000,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading\",\"authors\":\"Kee H. Chung , Chairat Chuwonganant\",\"doi\":\"10.1016/j.finmar.2023.100803\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper shows that the COVID-19 pandemic is associated with a decrease in liquidity and increases in price efficiency and informed trading before the NYSE closed its trading floor. The closure of the trading floor led to reductions in liquidity, price efficiency, and informed trading on the NYSE, and its subsequent reopening led to increases in these variables. The effects of the pandemic and the trading floor on price efficiency can be explained, at least in part, by their impacts on liquidity and informed trading. The effects on liquidity and price efficiency are fully reversed after the NYSE reopened its trading floor.</p></div>\",\"PeriodicalId\":47899,\"journal\":{\"name\":\"Journal of Financial Markets\",\"volume\":\"64 \",\"pages\":\"Article 100803\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2023-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1386418123000010\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418123000010","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 3

摘要

本文表明，2019冠状病毒病大流行与流动性下降、价格效率提高和纽约证券交易所关闭交易大厅前的知情交易有关。交易大厅的关闭导致纽约证券交易所的流动性、价格效率和知情交易的减少，随后的重新开放导致这些变量的增加。疫情和交易大厅对价格效率的影响，至少在一定程度上可以用它们对流动性和知情交易的影响来解释。纽交所重新开放交易大厅后，对流动性和价格效率的影响完全逆转。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading

This paper shows that the COVID-19 pandemic is associated with a decrease in liquidity and increases in price efficiency and informed trading before the NYSE closed its trading floor. The closure of the trading floor led to reductions in liquidity, price efficiency, and informed trading on the NYSE, and its subsequent reopening led to increases in these variables. The effects of the pandemic and the trading floor on price efficiency can be explained, at least in part, by their impacts on liquidity and informed trading. The effects on liquidity and price efficiency are fully reversed after the NYSE reopened its trading floor.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.