Coronavirus

Context (archaeology)

2019-20 coronavirus outbreak

Volatility (finance)

Betacoronavirus

Stock market

Virology

Archaeology

Psychiatry

Economics

Anxiety

Market liquidity

Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2)

Outbreak

Business

Coronavirus disease 2019 (COVID-19)

Geography

Political science

Monetary economics

Panic

Infectious disease (medical specialty)

Internal medicine

Financial economics

Medicine

Equity (law)

Pandemic

Disease

Liquidity crisis

Finance research letters

• Increase in COVID-19 cases/deaths increase stock market volaility and illiquidity. • Lockdowns/Reduced Mobility increase stock market volatility and illiquidity. • Negative sentiments from Coronavirus related news deteriorate stock market liquidity and stability. This study investigates the impact of COVID-19 pandemic on the microstructure of US equity markets. In particular, we explain the liquidity and volatility dynamics via indexes that capture multiple dimensions of the pandemic. Our results suggest that increases in confirmed cases and deaths due to coronavirus are associated with a significant increase in market illiquidity and volatility. Similarly, declining sentiment and the implementations of restrictions and lockdowns contribute to the deterioration of liquidity and stability of markets.

Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic