Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic

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.

Keywords: COVID-19, Liquidity, Volatility, Pandemic, Lockdowns, Sentiment

JEL Classification: G10, G14, G18, H12

Suggested Citation: Suggested Citation

Baig, Ahmed and Butt, Hassan A. and Haroon, Omair and Rizvi, Syed Aun R., Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (April 21, 2020). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3584947. or http://dx.doi.org/10.2139/ssrn.3584947