Does COVID-19-specific news affect stock market liquidity? Evidence from Japan

Wurong Yang; Naoki Watanabel; Hideaki Sakawa

doi:10.1016/j.mex.2023.102360

Does COVID-19-specific news affect stock market liquidity? Evidence from Japan

MethodsX. 2023 Sep 4:11:102360. doi: 10.1016/j.mex.2023.102360. eCollection 2023 Dec.

Authors

Wurong Yang¹, Naoki Watanabel¹, Hideaki Sakawa¹

Affiliation

¹ Graduate School of Economics, Nagoya City University, Nagoya, Japan.

Abstract

This article examines the effect of COVID-19-specific news on stock market liquidity in the Japanese Topix 500-listed firms. Our empirical analyses show that both COVID-19 confirmed cases and COVID-19-specific news induce a negative effect on stock market liquidity. These findings suggest that the effect of COVID-19-specific news on U.S. stock market liquidity [1] is robustly confirmed in Japanese firms. This study also presents recommendations derived from Narayan et al. [2], who constructed a COVID-19-specific news index using data from popular newspapers worldwide. In sum, this study presents the following:•Stock market liquidity is negatively affected by confirmed cases of COVID-19 in Japan.•The impact of COVID-19-specific news on stock market liquidity was analyzed using the OLS regression method.

Keywords: COVID-19 pandemic indices; Investor sentiment; OLS regression model; Regression Analysis.

Publication types

News