The 261th Wenlan Financial Forum

Abstract:

This paper exploits the COVID-19 pandemic as an exogenous shock to investor uncertainty and examines the effects of  uncertainty on stock liquidity. Using the data of Chinese listed firms,  we find that stock liquidity significantly dries up in response to the considerable uncertainty resulting from the  region-level pandemic exposure. The underlying mechanism behind the decreasing stock liquidity during pandemic outbreaks  is a combination of earnings uncertainty,  information uncertainty and perceived uncertainty. The investor inattention or sentiment rationales are further  excluded. Our findings also add to the discussions on the economic consequences of the COVID-19 pandemic in financial  markets.

Speaker Introduction:

Haoyu Gao, Associate professor and doctoral supervisor of the School of Finance, Renmin University of China. He is a "Outstanding Scholar" young scholar at Renmin University of China and a candidate for the 5th China Association for Science and Technology "Youth Talent Promotion Project". His research interests mainly focus on banking and financial market intermediation, financial risk management, debt and credit markets, corporate finance and China's capital markets, etc. His representative academic achievements have been published or accepted for publication in the Journal of Finance (JF), Review of Financial Studies (RFS), Journal of Financial Economics (JFE), Journal The Journal of Financial and Quantitative Analysis (JFQA), Journal of Financial Services Research (JFSR), Financial Research, Journal of Management Science, System Engineering Theory and Practice and other authoritative journals in the field of financial management at home and abroad.