Abstract
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.
| Original language | English |
|---|---|
| Peer-reviewed scientific journal | Nordic Journal of Business |
| Volume | 70 |
| Issue number | 4 |
| Pages (from-to) | 309-316 |
| ISSN | 2342-9003 |
| Publication status | Published - 19.01.2022 |
| MoE publication type | A1 Journal article - refereed |
Keywords
- 112 Statistics and probability
- COVID-19
- coronavirus
- stock markets
- high-frequency
- 512 Business and Management