Date of Award
8-2020
Degree Type
Creative Project
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Committee
Todd Griffith
Committee
Ben Blau
Abstract
Understanding how historical events affect market volatility and liquidity can provide crucial information to financial analysts, investment professionals, and managers in the event that similar circumstances resurface. In this study, I look at how a global pandemic (COVID-19) can introduce frictions into the market and cause disrupt the generation or flow of available information, this could cause prices to deviate significantly from their equilibrium values. I also hypothesize that these inefficiencies may have a greater effect on some industries than others. My analysis seems to confirm this hypothesis. I observe that the global COVID-19 pandemic leads to statistically significant increases in the volatility of industries such as Meals, Games, and Mines relative to the market. I also find that the pandemic leads to significant liquidity deterioration relative to the market in industries including ElcEq, Carry, and Other.
Recommended Citation
Christensen, Callin, "The Relative Industry Specific Effects of COVID-19 on Market Volatility and Liquidity" (2020). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 1470.
https://digitalcommons.usu.edu/gradreports/1470
Included in
Business Analytics Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons
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