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
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 |
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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: | 23 Jul 2024 02:18 |
URI: | https://ueaeprints.uea.ac.uk/id/eprint/93873 |
DOI: | 10.1016/j.frl.2021.101937 |
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