COVID-19 and the liquidity network

Yasmine Farzami; Russell Gregory-Allen; Alexander Molchanov; Saba Sehrish

doi:10.1016/j.frl.2021.101937

COVID-19 and the liquidity network

Yasmine Farzami, Russell Gregory-Allen, Alexander Molchanov, Saba Sehrish

Norwich Business School

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

We investigate the impact of the COVID-19 pandemic on liquidity interlinkages of US industry groups. We employ a lead-lag liquidity network method that allows us to analyse liquidity interrelationships beyond contemporaneous spillover effects. We document that sectors differ in their liquidity interactions during the pre-COVID period, with some sectors more interlinked than others. We also document that the crisis induced by COVID had a significant effect on the liquidity network, with all sectors becoming more interconnected relative to the pre-COVID period. The effect varies across industries, with the utilities sector being the most affected, and telecommunication services the least.

Original language	English
Article number	101937
Journal	Finance Research Letters
Volume	42
Early online date	19 Jan 2021
DOIs	https://doi.org/10.1016/j.frl.2021.101937
Publication status	Published - Oct 2021

Keywords

COVID-19 pandemic
Granger-causality
Lead-lag liquidity network
Liquidity interconnectedness
Sector analysis

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10.1016/j.frl.2021.101937

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title = "COVID-19 and the liquidity network",

abstract = "We investigate the impact of the COVID-19 pandemic on liquidity interlinkages of US industry groups. We employ a lead-lag liquidity network method that allows us to analyse liquidity interrelationships beyond contemporaneous spillover effects. We document that sectors differ in their liquidity interactions during the pre-COVID period, with some sectors more interlinked than others. We also document that the crisis induced by COVID had a significant effect on the liquidity network, with all sectors becoming more interconnected relative to the pre-COVID period. The effect varies across industries, with the utilities sector being the most affected, and telecommunication services the least.",

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AB - We investigate the impact of the COVID-19 pandemic on liquidity interlinkages of US industry groups. We employ a lead-lag liquidity network method that allows us to analyse liquidity interrelationships beyond contemporaneous spillover effects. We document that sectors differ in their liquidity interactions during the pre-COVID period, with some sectors more interlinked than others. We also document that the crisis induced by COVID had a significant effect on the liquidity network, with all sectors becoming more interconnected relative to the pre-COVID period. The effect varies across industries, with the utilities sector being the most affected, and telecommunication services the least.

KW - COVID-19 pandemic

KW - Granger-causality

KW - Lead-lag liquidity network

KW - Liquidity interconnectedness

KW - Sector analysis

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JO - Finance Research Letters

JF - Finance Research Letters

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COVID-19 and the liquidity network

Abstract

Keywords

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