Date of Award

8-2020

Degree Type

Creative Project

Degree Name

Master of Science (MS)

Department

Economics and Finance

First Advisor

Tyler Brough

Second Advisor

Todd Griffith

Third Advisor

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.

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