Full metadata record
DC Field | Value | Language |
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dc.creator | Kumar-Tiwari, A. (Aviral) | - |
dc.creator | Aikins-Abakah, E.J. (Emmanuel Joel) | - |
dc.creator | Kwasi-Karikari, N. (Nana) | - |
dc.creator | Gil-Alana, L.A. (Luis A.) | - |
dc.date.accessioned | 2023-05-03T08:08:15Z | - |
dc.date.available | 2023-05-03T08:08:15Z | - |
dc.date.issued | 2022 | - |
dc.identifier.citation | Kumar-Tiwari, A. (Aviral); Aikins-Abakah, E.J. (Emmanuel Joel); Kwasi-Karikari, N. (Nana); et al. "The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets". The North American Journal of Economics and Finance. 62, 2022, 101735 | es_ES |
dc.identifier.issn | 1879-0860 | - |
dc.identifier.uri | https://hdl.handle.net/10171/66145 | - |
dc.description.abstract | The outbreak of the novel corona virus has heightened concerns surrounding the adverse financial effects of the outbreak on stock market liquidity and economic policies. This paper contributes to the emerging strand of studies examining the adverse effects of the virus on varied aspect of global markets. The paper examines the causality and co-movements between COVID-19 and the aggregate stock market liquidity of China, Australia and the G7 countries (Canada, France, Italy, Japan, Germany, the UK and the US), using daily three liquidity proxies (Amihud, Spread and Traded Value) over the period December 2019 to July 2020. Our empirical analysis encompasses wavelet coherence and phase-differences as well as a linear Granger causality test. Linear cau- sality test results suggest that a causal relationship exists between the number of cases of COVID 19 infections and stock market liquidity. To quantitatively examine the degree of causality be- tween COVID-19 outbreak and stock market liquidity, we employ the continuous wavelet coherence approach with results revealing the unprecedented impact of COVID-19 on stock market liquidity during the low frequency bands for countries that were hard hit with the COVID- 19 outbreak, i.e., Italy, Germany, France, the UK and the US. Further, evidence shows that there is a heterogeneous lead-lag nexus across scales for the entire period of the study | es_ES |
dc.description.sponsorship | Comments from the Editor and three anonymous reviewers are gratefully acknowledged. Luis A. Gil-Alana gratefully acknowledges financial support from the Grant PID2020-113691RB-I00 funded by MCIN/AEI/ 10.13039/501100011033. Finally, we appreciate the support from The University of Adelaide, Australia, as we began this paper while Emmanuel was at The University of Adelaide. Any errors and shortcomings remain the authors’ responsibility | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Proyectos I+D/PID2020-113691RB-I00/[ES]/INTEGRACION FRACCIONAL: AVANCES TEORICOS Y DESARROLLOS EMPIRICOS | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.subject | COVID 19 | es_ES |
dc.subject | Stock market liquidity | es_ES |
dc.subject | Uncertainty | es_ES |
dc.subject | Wavelets | es_ES |
dc.subject | Causality | es_ES |
dc.title | The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.note | This is an open access article under the CC BY license | es_ES |
dc.identifier.doi | 10.1016/j.najef.2022.101735 | - |
dadun.citation.publicationName | The North American Journal of Economics and Finance | es_ES |
dadun.citation.startingPage | 101735 | es_ES |
dadun.citation.volume | 62 | es_ES |
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