Covid-19 and stock liquidity: evidence from top 30 Kuala Lumpur composite index

Yee Ee Chia and Ricky Chee - Jiun Chia and Mohd Ashari Bakri (2023) Covid-19 and stock liquidity: evidence from top 30 Kuala Lumpur composite index. Economics Bulletin, 43. pp. 1-14. ISSN 1545-2921

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Abstract

This study examines the impact of COVID-19 and the subsequent government policy on stock liquidity traded on the top 30 companies listed on the Main Board of the FTSE Bursa Malaysia KLCI. We collect daily data for stock liquidity, the cumulative number of total cases, the cumulative number of total deaths, the number of active cases, the number of daily new cases, the total number of people vaccinated and firm-specific characteristics for the period from January 2, 2020 to June 30, 2021. The pooled ordinary least squares regression results demonstrate a negative association between COVID-19 and liquidity, suggesting that a higher proportion of COVID-19 cases deteriorate firm stock liquidity. We also document that vaccination programs assist in improving stock liquidity. Additional analysis of the industry sector shows significant differences in liquidity between sectors. The COVID-19 pandemic increases stock liquidity for the transportation and logistics sector and energy sector, but it hardly hits the plantation sector. In terms of government intervention, the vaccination program helps in improving stock liquidity for the utilities sector. Since the negative impact of COVID-19 is inevitable, future research should consider the essential role of vaccinations to recognize and forecast the behavior of stock liquidity.

Item Type:	Article
Keyword:	Covid 19 , global economy , financial market
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28-9999 Industries. Land use. Labor > HD2350.8-2356 Large industry. Factory system. Big business > HD2709-2930.7 Corporations Including international business enterprises, diversification, industrial concentration, public utilities R Medicine > RA Public aspects of medicine > RA1-1270 Public aspects of medicine > RA421-790.95 Public health. Hygiene. Preventive medicine > RA643-645 Disease (Communicable and noninfectious) and public health
Department:	FACULTY > Labuan Faculty of International Finance
Depositing User:	ABDULLAH BIN SABUDIN -
Date Deposited:	19 Jul 2024 16:14
Last Modified:	19 Jul 2024 16:14
URI:	https://eprints.ums.edu.my/id/eprint/39228

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