COVID-19 catastrophes and stock market liquidity: evidence from technology industry of four biggest ASEAN capital market

Priscilla, Sherin; Hatane, Saarce Elsye; Tarigan, Josua

doi:10.1108/apjba-10-2021-0504

Cited by 8 publications

(5 citation statements)

References 61 publications

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“…This result opposes the research by Alaoui Mdaghri et al [4] which stated that stringency index hampered stock market liquidity significantly. Nevertheless, this result is in line with Nguyen et al's [7] and Priscilla et al's [21] paper. While the theory of black swan stated that the occurrence of a "black swan" might jeopardize investments, this research showed that not all aspects of investments will be hampered.…”

Section: The Effects Of Stringency Index Towards Stock Market Liquiditysupporting

confidence: 89%

Indonesia’s Stock Market Liquidity: The Impact of Covid-19 Pandemic and Social Distancing

Yap,

Imelda

2023

ijaeb

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The purpose of this study was to obtain empirical evidence regarding the effects of COVID-19 pandemic on Indonesia’s Stock Market Liquidity. COVID-19 was observed with three variables (the growth of the total number of confirmed cases, the growth of the number of deaths, and stringency index). This study incorporated market capital, return of Jakarta Composite Index (JCI), and exchange rates of Rupiah against U.S. Dollar as control variables. The source of data of this research was from IHSG transactions, COVID-19 updates on WHO’s website, and exchanges rate historical data from Bank Indonesia’s website from March 2nd, 2020 to December 30th, 2020. Hypothesis testing is done by multiple regression analysis using EViews 12. The findings of this research indicate that COVID-19 did not correlate significantly to the liquidity by the depth measure. The implication of this study is to provide new insight regarding the effects of pandemic towards Indonesia’s stock market liquidity, to become a reference to the future research because the result differs from one country to another one, to provide new insight such as knowledge regarding the higher return and the strengthening of Rupiah means the higher stock market illiquidity by its depth, in order to give guidance for investors’ decision-making process and to give references for the next research.

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Section: The Effects Of Stringency Index Towards Stock Market Liquiditysupporting

confidence: 89%

Indonesia’s Stock Market Liquidity: The Impact of Covid-19 Pandemic and Social Distancing

Yap,

Imelda

2023

ijaeb

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“…They observed negative impact of coronavirus on stock prices and behavior of investors while governments' financial support played a positive role in reducing the negative impact of the same. Priscilla et al (2022) noticed adverse impact of confirmed cases and deaths on the stock market liquidity; on the contrary, vaccinations and recovery news had positive impact in four ASEAN capital markets. Yarovaya et al (2022) observed a contagion effect and intraregional and interregional return and volatility spillovers based on four levels of information transmission such as catalyst of contagion, media attention, spillover effect at financial markets and macroeconomic fundamentals.…”

Section: Stock Market Volatility and Uncertaintymentioning

confidence: 94%

“…They observed negative impact of coronavirus on stock prices and behavior of investors while governments’ financial support played a positive role in reducing the negative impact of the same. Priscilla et al. (2022) noticed adverse impact of confirmed cases and deaths on the stock market liquidity; on the contrary, vaccinations and recovery news had positive impact in four ASEAN capital markets.…”

Section: Literature Reviewmentioning

confidence: 94%

Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective

Chowdhury

2022

JCMS

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PurposeThis paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves.Design/methodology/approachThis study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death cases of Covid-19, US S&P 500, volatility index, economic policy uncertainty and S&P 500 of Bombay Stock Exchange to attain the purpose.FindingsIt is observed that, during the first wave, the confirmed cases and the fiscal measure have a significant impact, while the vaccination initiative and the abnormal hike of confirmed cases have a significant impact on the US stock returns during the second wave. It is further observed that the volatility of Indian and US stock markets spillovers during the sample period. Moreover, a perpetual correlation between the Covid-19 and the stock market variables has been noticed.Research limitations/implicationsAt present, the world is experiencing the third wave of Covid-19. This paper has considered the first and second waves.Practical implicationsIt is expected that business leaders, stock market regulators and the policymakers will be highly benefitted from the research outcomes of this study.Originality/valueThis paper briefly highlights the drawbacks of existing policies and suggests appropriate guidelines to successfully implement the forthcoming initiatives to reduce the catastrophic impact of Covid-19 on the stock market volatility and uncertainty.

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“…However, Chakrabarty and Pascual (2022) observe a drop in liquidity in assets belonging to the S&P500, although less pronounced in those assets more actively traded by AT. Other papers pointing in this direction are those of Damien (2021), Tissaoui et al (2021), andPriscilla et al (2022). On the other hand, authors such as Marozva and Magwedere (2021) have observed an improvement in liquidity in the capital market, with a negative relationship between illiquidity measures and COVID-19, more prevalent in developed markets than in emerging ones.…”

Section: Literature Reviewmentioning

confidence: 96%

Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach

Ferreruela

Martín

2022

JRFM

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The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets provide us with a unique framework to analyze the effects of this kind of measure on market quality in the context of increasingly automated equity markets. We contribute to the literature by analyzing the microstructure and quality parameters of the Spanish equity market during COVID-19 and SSR. We study four subperiods, namely pre-crisis, turmoil, SSR, and first de-escalation periods, by means of a tick-by-tick dataset and the complete limit order book (LOB). We observe the following impact of the SSR on the constituents of IBEX 35: (1) the SSR did comply partially with its aim at an intraday level regarding volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm of the slope of the LOB bidirectionally Granger causes 1 min realized volatility.

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COVID-19 catastrophes and stock market liquidity: evidence from technology industry of four biggest ASEAN capital market

Cited by 8 publications

References 61 publications

Indonesia’s Stock Market Liquidity: The Impact of Covid-19 Pandemic and Social Distancing

Indonesia’s Stock Market Liquidity: The Impact of Covid-19 Pandemic and Social Distancing

Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective

Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach

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