This paper presents a high-frequency analysis of the Dow-30 stocks during the early stages of the COVID-19 pandemic in February and March 2020. Using a wide range of proxies for stock activity, liquidity, and volatility in 1-min resolution, the impact of the COVID-19 on the stock markets is visually assessed. To gauge the immediate effect of the COVID-19 on the Dow-30 stocks, robust descriptive statistics are used to compare variables during “normal” times in February and “ab-normal” times in March 2020. A 2-to-3-fold change in the level of the indicators and a 2-to-6-fold change in the variability of the indicators is found after the outbreak of the COVID-19 pandemic.
|Peer-reviewed scientific journal||Nordic Journal of Business|
|Publication status||Published - 19.01.2022|
|MoE publication type||A1 Journal article - refereed|
- 112 Statistics and probability
- stock markets
- 512 Business and Management