Does COVID-19-specific news affect stock market liquidity? Evidence from Japan

被引：0
|
作者：
Yang, Wurong [1 ]
Watanabel, Naoki [1 ]
Sakawa, Hideaki [1 ]
机构：
[1] Nagoya City Univ, Grad Sch Econ, Nagoya, Japan
来源：
METHODSX | 2023年 / 11卷
关键词：
Investor sentiment; OLS regression model; COVID-19 pandemic indices;
D O I：
10.1016/j.mex.2023.102360
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This article examines the effect of COVID-19-specific news on stock market liquidity in the Japanese Topix 500-listed firms. Our empirical analyses show that both COVID-19 confirmed cases and COVID-19-specific news induce a negative effect on stock market liquidity. These findings suggest that the effect of COVID-19-specific news on U.S. stock market liquidity [1] is robustly confirmed in Japanese firms. This study also presents recommendations derived from Narayan et al. [2] , who constructed a COVID-19-specific news index using data from popular newspapers worldwide. In sum, this study presents the following:center dot Stock market liquidity is negatively affected by confirmed cases of COVID-19 in Japan.center dot The impact of COVID-19-specific news on stock market liquidity was analyzed using the OLS regression method.
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页数：7
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