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COVID-19 intensity across U.S. states and the liquidity of U.S. equity markets
Financial Review ; 2023.
Article in English | Web of Science | ID: covidwho-2238942
ABSTRACT
We study the effects of COVID-19 intensity on equity market liquidity across U.S. states. We exploit cross-sectional variation in cases and deaths to investigate any association with the deterioration of stock liquidity of firms whose headquarters or operations are in the corresponding state(s). Our motivation stems from several underlying economic channels such as order processing costs, inventory costs, and adverse selection costs. We find strong negative relations between pandemic intensity and various intra-day liquidity measures. Our results are more pronounced for firms operating in states with more stringent containment and health measures and within industries with greater risk exposure.
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Full text: Available Collection: Databases of international organizations Database: Web of Science Language: English Journal: Financial Review Year: 2023 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Web of Science Language: English Journal: Financial Review Year: 2023 Document Type: Article