The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy

Rehse, Dominik; Riordan, Ryan; Rottke, Nico B.; Zietz, Joachim

doi:10.1016/j.jfineco.2019.04.006

Cited by 109 publications

(20 citation statements)

References 24 publications

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“…However, as a corollary, flattening or declining curve is associated with improving liquidity in financial markets. This is in-line with works of Rehse et al (2019), Easley and O'Hara (2010), Ozsoylev and Werner (2011) and Routledge and Zin (2009), which conclude an increase in spreads thus illiquidity in the face of economics and financial uncertainty. These findings prevail for emerging markets from America, Europe, and Middle Eastern region but not for Asian emerging markets (see Tables 4-6).…”

Section: Empirical Analysissupporting

confidence: 90%

Flatten the Curve and Stock Market Liquidity – An Inquiry into Emerging Economies

Haroon¹,

Rizvi²

2021

Research on Pandemics

124

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In this study, we focus on two dimensions of COVID-19 pandemic and their impact on liquidity in emerging equity markets, the real human costs and the government response. Using a sample of 23 emerging markets across three regions, our findings suggest that decreasing (increasing) trend in the number of confirmed coronavirus cases is associated with improving (deteriorating) liquidity in financial markets. We also find that policy interventions in terms of restrictions on movement and businesses are associated with improved liquidity. Results suggest that flattening curve of coronavirus infections helps reduce uncertainty among investors.

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Section: Empirical Analysissupporting

confidence: 90%

Flatten the Curve and Stock Market Liquidity – An Inquiry into Emerging Economies

Haroon¹,

Rizvi²

2021

Research on Pandemics

124

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“…4 The estimated difference of 0.6275 corresponds in both realized dynamic correlation distributions, that is, corr btc; s&p500 ð Þ t or corr gold; s&p500 ð Þ t to less than 0.5% of the probability mass. Note that Rehse et al (2019), who explore the effects of the hurricane Sandy on market liquidity, also employ a differencein-differences setting using the outbreak of the hurricane as quasi-experimental design. 0.4923 is statistically significant on a 5%.…”

Section: Methodsmentioning

confidence: 99%

When Bitcoin has the flu: on Bitcoin’s performance to hedge equity risk in the early wake of the COVID-19 outbreak

Grobys

2020

Applied Economics Letters

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Using the coronavirus COVID-19 outbreak as a set-up for a quasi-experiment, this study derives novel insights on the dynamic correlation between Bitcoin and US stocks. Given the unprecedented scale of infections and the nature of the virus, the potential impact on the dynamic correlation was unpredictable and therefore uncertain. Using a difference-indifferences setting, the dynamic correlation between Bitcoin and stocks is controlled for the dynamic correlation between gold and stocks. This study finds that Bitcoin performed poorly in hedging this tail risk.

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“…They found a significant negative impact of disaster risk on equity markets. Rehse et al (2019) attempted to determine the effects of Hurricane Sandy as an exogenous shock on market liquidity. The findings confirmed the theory of the detrimental effects of natural disasters on market functioning.…”

Section: Literature Reviewmentioning

confidence: 99%

Effects of COVID-19 on Global Financial Markets: Evidence from Qualitative Research for Developed and Developing Economies

et al. 2022

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The research aims to prioritize the pandemic's impact on the financial markets of developed and developing economies using a multi-criteria decision-making approach. The results revealed that COVID-19's pandemic effects on financial markets differ between developed and developing nations. COVID-19 pandemic affects developed countries' financial markets more through supply reduction, demand reduction, and economic instability. Regarding developing nations, confidence and expectations, changes in consumption patterns, and the bandwagon effect are the three most significant impacts of COVID-19 pandemic on financial markets. The best decisions to lower the effect of COVID-19 pandemic on developed nations' financial markets are the declaration of the stimulus package and support of smalland-medium-sized enterprises. Contrastingly, in developing countries, support for vulnerable households and declaration of the stimulus package are the best decisions to combat COVID-19's negative impact on their financial markets. As practical policy implications for lowering COVID-19's negative impact on financial markets, the promotion of new financing instruments, reconstruction of the relationship between public and private sectors, and support of vulnerable households and enterprises are highly recommended.

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The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy

Cited by 109 publications

References 24 publications

Flatten the Curve and Stock Market Liquidity – An Inquiry into Emerging Economies

Flatten the Curve and Stock Market Liquidity – An Inquiry into Emerging Economies

When Bitcoin has the flu: on Bitcoin’s performance to hedge equity risk in the early wake of the COVID-19 outbreak

Effects of COVID-19 on Global Financial Markets: Evidence from Qualitative Research for Developed and Developing Economies

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