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Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries

Author

Listed:
  • Anas Alaoui Mdaghri
  • Abdessamad Raghibi
  • Cuong Nguyen Thanh
  • Lahsen Oubdi

Abstract

Purpose - The purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions. Design/methodology/approach - The author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020. Findings - The regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis confirmed that COVID-19 had a significant and negative impact of stock market liquidity. Research limitations/implications - This paper confirms that the global coronavirus pandemic has decreased the stock market liquidity in terms of both the depth and the tightness dimensions. Originality/value - While most empirical papers focused on the impact of the COVID-19 global pandemic on stock market returns, this paper investigated liquidity chock at firm level in the MENA region using both tightness and depth dimensions.

Suggested Citation

  • Anas Alaoui Mdaghri & Abdessamad Raghibi & Cuong Nguyen Thanh & Lahsen Oubdi, 2020. "Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 13(1), pages 51-68, November.
    • Handle: RePEc:eme:rbfpps:rbf-06-2020-0132
    DOI: 10.1108/RBF-06-2020-0132
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    Citations

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    Cited by:

    1. Hakan Yilmazkuday, 2022. "COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 50(1), pages 67-84, June.
    2. Talie Kassamany & Bernard Zgheib, 2023. "Impact of government policy responses of COVID‐19 pandemic on stock market liquidity for Australian companies," Australian Economic Papers, Wiley Blackwell, vol. 62(1), pages 24-46, March.
    3. Zhuoqi Teng & Renhong Wu & Yugang He & Anibal Coronel, 2023. "Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval," Discrete Dynamics in Nature and Society, Hindawi, vol. 2023, pages 1-10, June.
    4. Gofran, Ruhana Zareen & Gregoriou, Andros & Haar, Lawrence, 2022. "Impact of Coronavirus on liquidity in financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    5. Isabel Carrillo-Hidalgo & Juan Ignacio Pulido-Fernández & José Luis Durán-Román & Jairo Casado-Montilla, 2023. "COVID-19 and tourism sector stock price in Spain: medium-term relationship through dynamic regression models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.

    More about this item

    Keywords

    Coronavirus; Stock market; Liquidity; MENA; G01; G40; G41;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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