Does COVID-19-specific news affect stock market liquidity? Evidence from Japan
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 e...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-12-01
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| Series: | MethodsX |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2215016123003564 |
| Summary: | 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: • Stock market liquidity is negatively affected by confirmed cases of COVID-19 in Japan. • The impact of COVID-19-specific news on stock market liquidity was analyzed using the OLS regression method. |
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| ISSN: | 2215-0161 |