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The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic

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  • Aharon, David Y.
  • Baig, Ahmed S.
  • DeLisle, R. Jared

Abstract

This paper examines the impact of COVID-19 related governments' interventions on the volatility and liquidity of American depository receipts (ADRs). Using a wide dataset of 387 ADRs from 34 countries around the globe, we provide an examination of the effect of economic and non-economic interventions on the quality of these cross-listed securities. Our results suggest that closures, restrictions, as well as containment health steps implemented during the outbreak period of the pandemic, seem to deteriorate the ADRs' liquidity and stability. The negative impact holds for different control variables and regression specifications and is not subsumed by the inclusion of the daily confirmed cases as a proxy for the severity of the pandemic. The information documented here may assist financial market participants in their risk management. The findings could also be important for policymakers for their preparedness plans in case of future crises.

Suggested Citation

  • Aharon, David Y. & Baig, Ahmed S. & DeLisle, R. Jared, 2022. "The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003172
    DOI: 10.1016/j.frl.2021.102276
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    Cited by:

    1. Yuan, Hong & Huang, Mengqi, 2023. "Pandemic public health interventions and corporate communications: Evidence from China," Finance Research Letters, Elsevier, vol. 58(PD).
    2. Aharon, David Y. & Baig, Ahmed S. & Jacoby, Gady & Wu, Zhenyu, 2024. "Greenhouse gas emissions and the stability of equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    3. Allen, Kyle D. & Baig, Ahmed & Winters, Drew B., 2023. "The response of money market funds to the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 54(C).

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    More about this item

    Keywords

    COVID-19; Interventions; Capital markets; ADR American depository receipts; Volatility; Bid-ask; Spread; Liquidity;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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