The Comparison Study of Liquidity Measurements on the Chinese Stock Markets

Hải

2021

AJEB

PurposeThis paper aims to explore the influence of the COVID-19 outbreak and the Government's disease control measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector.Design/methodology/approachThe authors have conducted a panel data regression analysis using data from 50 banking, insurance and finance companies listed in Vietnam's two biggest stock exchanges (HNX and HOSE) within the period from January 30th, 2020 to May 15th, 2021.FindingsThe regression results indicate that the daily growth in the total number of confirmed cases caused by COVID-19 has significant negative effects on the stock market returns and liquidity. Nevertheless, the Government's imposition of lockdown yields significant and positive outcomes on stock performance. In addition, the study reveals remarkable differences in returns of large-cap and small-cap stocks under the impact of the COVID-19 pandemic.Research limitations/implicationsThe study indicates government and regulators should act more actively to limit the outbreak of the virus, improve investor confidence as well to support the financial services industry and deal with the outbreak of the pandemic later.Originality/valueThis is the first study to explore the influence of the COVID-19 outbreak and the Government's disease control measures on the stock returns and liquidity of Vietnam-listed companies in the financial services industry.

Section: Stock Market Returns and Liquiditymentioning

confidence: 99%

Stock market returns and liquidity during the COVID-19 outbreak: evidence from the financial services sector in Vietnam

Hải

2021

AJEB

“…The CPQS measure is a low-estimator of bid-ask spread which is computed using daily closing bid and ask prices. It is considered a good proxy to capture the effective bid-ask spread (Fong et al, 2017;Gao et al, 2020).…”

Section: Dependent Variablesmentioning

confidence: 99%

Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries

Mdaghri

Raghibi

Thanh³

et al. 2020

RBF

PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions.Design/methodology/approachThe author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020.FindingsThe regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis confirmed that COVID-19 had a significant and negative impact of stock market liquidity.Research limitations/implicationsThis paper confirms that the global coronavirus pandemic has decreased the stock market liquidity in terms of both the depth and the tightness dimensions.Originality/valueWhile most empirical papers focused on the impact of the COVID-19 global pandemic on stock market returns, this paper investigated liquidity chock at firm level in the MENA region using both tightness and depth dimensions.

“…Effective spread is utilised as the second dependent variable in measuring market tightness, generally derived from the bid-ask spread. Chung and Zhang (2014) introduced that the CPQS is used in this study as the best approximation to convey the market tightness in estimating the bid-ask spread (Gao et al, 2020). However, aligned with market depth, this measurement also has the opposite direction.…”

Section: Dependent Variablesmentioning

confidence: 99%

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

Priscilla

Hatane

Tarigan

2022

APJBA

PurposeThis study examines the influence of various COVID-19 catastrophes variables on the stock market liquidity, considering the market depth and market tightness in the technology industry of the four biggest ASEAN capital markets.Design/methodology/approachThe study utilised the panel data regression analysis obtained from 177 listed technology companies across the four ASEAN countries from March 2, 2020 to June 30, 2021 using the random effect and weighted least squares. The study also supported the result with robustness test, implementing the quantile regression to further present companies' segmentation within the variables.FindingsThe regression results indicate that daily growth COVID-19 confirmed cases and stringency that adversely impacted the stock market liquidity. Confirmed deaths were also found to have a detrimental effect on the stock market liquidity. On the other hand, recoveries and vaccination of COVID-19 enhance the stock market liquidity to escalate.Research limitations/implicationsThe study affirms that stock market liquidity is bound to be driven by the COVID-19 variables, but only to be limited to the technology industry observed in four major ASEAN capital markets. Awareness by investors and government could be shifted towards the rise of confirmed cases, recoveries, vaccination and stringency as it improves the liquidity of capital market in aggregate. However, rise of confirmed deaths negatively affect the liquidity. All in all, government and stock market regulator should promote transparency to boost investors' confidence in trading.Originality/valueThis study initiates the investigation in the four biggest ASEAN capital markets, particularly in the technology industry, regarding the COVID-19 catastrophes and stock market liquidity in terms of both market depth and market tightness. Further, this study enriches the impact of COVID-19 by taking the recovery cases and vaccination of COVID-19 as additional consideration.