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Covid-19 And Stock Market Liquidity: International Evidence, Muhammad Umar, Ghulame Rubbaniy, Amjad Iqbal, Syed Kumail Abbas Rizvi, Yan Xu
Covid-19 And Stock Market Liquidity: International Evidence, Muhammad Umar, Ghulame Rubbaniy, Amjad Iqbal, Syed Kumail Abbas Rizvi, Yan Xu
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This study analyzes the impact of Covid-19 on stock market liquidity of China and four worst hit countries by the pandemic. Using daily data for the stock market illiquidity spanning over July 1, 2019 to July 10, 2020 and the data for new cases and deaths over the period from December 31, 2019 to July 10, 2020, the results of our GARCH analysis show that liquidity in stock markets of all the sampled countries hit hard by the news of the Covid-19 outbreak. We find that for all sampled countries increase in illiquidity due to temporary shocks reverts to long …