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

Abstract

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.

Keywords

• Regression Analysis