Stock Market Liquidity, the Great Lockdown and the COVID-19 Global Pandemic Nexus in MENA Countries

Posted: 2 Jun 2020

See all articles by Anas Alaoui Mdaghri

Anas Alaoui Mdaghri

Ibn Zohr University - ENCG, Agadir

Abdessamad Raghibi

ENCG, Ibn Zohr University

Thanh Cuong Nguyen

Nha Trang University, Vietnam - Faculty of Accounting and Finance

Lahsen Oubdi

ENCG, Ibn Zohr University

Date Written: June 1, 2020

Abstract

The global pandemic of coronavirus has created an unprecedented economic lockdown. Although past pandemics have caused a short run market shock with quick recovery, this pandemic is believed to last as some sectors are deemed to disappear or change. Accordingly, this paper investigates the impact of the global Coronavirus (COVID-19) pandemic on stock market liquidity taking into account the depth and tightness dimension. We used a panel stock market data set representing 320 listed firms operating in six MENA countries from February to May 2020. The regression results on the overall sample indicates that liquidity using both depth and tightness measures is positively correlated to confirmed cases growth and death growth respectively. In addition to that, the stringency index is positively related to both liquidity measures. Our results also indicate that small cap firms’ liquidity is significantly impacted by the confirmed number of cases and death. Results were not statistically significant for big cap firms. Moreover, all industry sectors’ liquidity was significantly impacted by the growing confirmed cases except for the healthcare sector whose results were not significant. Hence, this paper confirmed that the global pandemic of coronavirus has decreased the stock market liquidity in both its depth and tightness dimension.

Keywords: Coronavirus, stock market, liquidity, MENA

JEL Classification: G01, G40, G41

Suggested Citation

Alaoui Mdaghri, Anas and Raghibi, Abdessamad and Nguyen, Thanh Cuong and Oubdi, Lahsen, Stock Market Liquidity, the Great Lockdown and the COVID-19 Global Pandemic Nexus in MENA Countries (June 1, 2020). Available at SSRN: https://ssrn.com/abstract=3615727

Anas Alaoui Mdaghri

Ibn Zohr University - ENCG, Agadir ( email )

Morocco

Abdessamad Raghibi (Contact Author)

ENCG, Ibn Zohr University ( email )

Morocco

Thanh Cuong Nguyen

Nha Trang University, Vietnam - Faculty of Accounting and Finance ( email )

Nha Trang
Vietnam
+840913482890 (Phone)

HOME PAGE: http://https://en.ntu.edu.vn/Academic-Unit/Faculties/Faculty-of-Accounting-and-Finance

Lahsen Oubdi

ENCG, Ibn Zohr University ( email )

Morocco

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