COVID-19, government policy responses, and stock market liquidity around the world: A note

Adam Zaremba; David Y Aharon; Ender Demir; Renatas Kizys; Dariusz Zawadka

doi:10.1016/j.ribaf.2020.101359

COVID-19, government policy responses, and stock market liquidity around the world: A note

Res Int Bus Finance. 2021 Apr:56:101359. doi: 10.1016/j.ribaf.2020.101359. Epub 2020 Dec 4.

Authors

Adam Zaremba^{1

2}, David Y Aharon³, Ender Demir^{4

5}, Renatas Kizys⁶, Dariusz Zawadka²

Affiliations

¹ Montpellier Business School, 2300 Avenue des Moulins, 34185, Montpellier, France.
² Department of Investment and Financial Markets, Institute of Finance, Poznan University of Economics and Business, al. Niepodległości 10, 61-875, Poznań, Poland.
³ Faculty of Business Administration, Ono Academic College, Tzahal St 104, Kiryat Ono, Israel.
⁴ University of Social Sciences, Lodz, Poland.
⁵ Istanbul Medeniyet University, Dumlupınar D100 Karayolu No:98, 34720, Kadıköy, İstanbul, Turkey.
⁶ Department of Banking and Finance, Southampton Business School, University of Southampton, Room 1013, Building 4, Highfield Campus, Southampton, SO17 1BJ, United Kingdom.

Abstract

Unprecedented non-pharmaceutical interventions targeted to curb the spread of COVID-19 exerted a dramatic impact on the global economy and financial markets. This study is the first attempt to investigate the influence of these government policy responses on global stock market liquidity. To this end, we examine daily data from 49 countries for the period January-April 2020. We demonstrate that the impact of the interventions is limited in scale and scope. Workplace and school closures deteriorate liquidity in emerging markets, while information campaigns on the novel coronavirus facilitate trading activity.

Keywords: COVID-19; Government policy responses; International financial markets; Non-pharmaceutical interventions; Novel coronavirus; Stock market liquidity; Turnover ratio.