COVID-19 and the liquidity network

Farzami, Yasmine, Gregory-Allen, Russell, Molchanov, Alexander and Sehrish, Saba ORCID: https://orcid.org/0000-0001-9443-2450 (2021) COVID-19 and the liquidity network. Finance Research Letters, 42. ISSN 1544-6123

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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.

Item Type: Article
Uncontrolled Keywords: covid-19 pandemic,granger-causality,lead-lag liquidity network,liquidity interconnectedness,sector analysis,finance ,/dk/atira/pure/subjectarea/asjc/2000/2003
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Related URLs:
Depositing User: LivePure Connector
Date Deposited: 06 Dec 2023 02:20
Last Modified: 09 Jul 2024 01:33
URI: https://ueaeprints.uea.ac.uk/id/eprint/93873
DOI: 10.1016/j.frl.2021.101937

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