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Stock liquidity during COVID-19 crisis: A cross-country analysis of developed and emerging economies, and economic policy uncertainty

2023; Elsevier BV; Volume: 55; Linguagem: Inglês

10.1016/j.ememar.2023.101025

1873-6173

Omar Al Farooque, Ghasan Baghdadi, Hai Hong Trinh, Sarod Khandaker,

Financial Markets and Investment Strategies

We investigate the impact of the COVID-19 on firms' stock liquidity across six developed and emerging economies. Unlike prior literature, we further compare the effects of the pandemic between developed and emerging economies, high and low economic policy uncertainty (EPU), and large and small firms. Our results document the significant negative impact of infection cases and deaths on firms' stock liquidity across the sample countries, and the similar effect of their interaction term. We find that the impact is more pronounced in the developed economies, high EPU and small firms, compared to emerging economies, low EPU and large firms, respectively.