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

Posted: 26 Apr 2020 Last revised: 27 Jul 2020

See all articles by Ahmed S. Baig

Ahmed S. Baig

Boise State University - College of Business and Economics

Hassan A. Butt

Missouri Southern State University - Plaster College of Business

Omair Haroon

Lahore University of Management Sciences, Students

Syed Aun R. Rizvi

Lahore University of Management Sciences (LUMS)

Date Written: April 21, 2020

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.

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

JEL Classification: G10, G14, G18, H12

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

Ahmed Baig (Contact Author)

Boise State University - College of Business and Economics ( email )

Boise, ID 83706
United States

Hassan A. Butt

Missouri Southern State University - Plaster College of Business ( email )

3950 E. Newman Road
Joplin, MO 64801
United States

Omair Haroon

Lahore University of Management Sciences, Students ( email )

D.H.A, Lahore Cantt
Lahore, Punjab 54792
Palau

Syed Aun R. Rizvi

Lahore University of Management Sciences (LUMS)

D.H.A, Lahore Cantt
Lahore, Punjab 54792
Pakistan

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