COVID-19 and the liquidity network

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

Research output: Contribution to journalArticlepeer-review

8 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 languageEnglish
Article number101937
JournalFinance Research Letters
Volume42
Early online date19 Jan 2021
DOIs
Publication statusPublished - Oct 2021

Keywords

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

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