The Impact of Factors Related to the COVID-19 on Each Industry in Thai Equity Markets
Keywords:
COVID-19, equity market, liquidity, volatilityAbstract
The purpose of this study is to study the factors affecting liquidity and volatility of each industry’s stocks in Thai equity markets during the COVID-19 pandemic. The industry’s liquidity is measured by turnover ratio and Amihud’s illiquidity while the industry’s volatility is measured by Garman & Klass and range-based volatility. The study’s statistical tests are based on regression models. The data of stock market information is obtained from SETSMART, the data of confirmed cases and deaths in Thailand are from the Department of Disease Control, and the Stringency index is obtained from Oxford COVID-19 Government Response Tracker (OxCGRT). The results suggest that the increases in cases, deaths, and stringency index due to COVID-19 bring about an increase in the liquidity of most industries. However, the increases in cases, deaths, and stringency index due to COVID-19 impact each industry differently, depending on the industry’s ability to respond to or take advantages of the pandemic.
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