Download This PaperCOVID-19 and the Equity Market. A March 2020 Tale
13 Pages Posted: 3 Apr 2020
Date Written: March 30, 2020
Abstract
In March 2020 the U.S. equity market is suffering large losses. This is primarily due to COVID-19, which probably also caused a drop in the shale oil price. US market indices are fluctuating this month much more than any time in history. In this short note, we are using two high frequency market measures we developed in our past work to create a market wide indicator we call Number of Detected Anomalies (NoDA). NoDA is a market-wide signal focused on analyzing intraday trading activity in the US equity markets. Although the cause of the current market event is very different from anything we have seen before, the market participants seem to take a typical attitude to unpredictable events, one of expectation and price discovery. In this work we are able to analyze specific public historical events and determine market reaction as measured by the NoDA indicator.
Keywords: High frequency data, Rare event detection, Market crash, Limit order book
JEL Classification: C5, G1
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