COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-Pandemic
This study investigates liquidity trends in key Southeast Asian markets, specifically focusing on the ASEAN-6 countries (Indonesia, Thailand, Singapore, Malaysia, Vietnam, and the Philippines) during and after the COVID-19 pandemic. Utilizing regression models, we analyze how trading volume, volatil...
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| Format: | Article |
| Language: | English |
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SAGE Publishing
2025-04-01
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| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/21582440251336112 |
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| author | Chi Pham Thi Bich Linh Nguyen Ha Thu Vu Thi Minh |
| author_facet | Chi Pham Thi Bich Linh Nguyen Ha Thu Vu Thi Minh |
| author_sort | Chi Pham Thi Bich |
| collection | DOAJ |
| description | This study investigates liquidity trends in key Southeast Asian markets, specifically focusing on the ASEAN-6 countries (Indonesia, Thailand, Singapore, Malaysia, Vietnam, and the Philippines) during and after the COVID-19 pandemic. Utilizing regression models, we analyze how trading volume, volatility, price movements, and their interactions have collectively influenced liquidity dynamics across these markets within 121 days around the pandemic’s announcement. We use three primary liquidity indicators: bid-ask spreads, Amihud’s illiquidity ratio, and the return-turnover ratio. The findings indicate that in the short term, COVID-19 shock, trading volume, and volatility significantly affected liquidity across the ASEAN-6 indices, with notable variations among the markets. Specifically, the Singapore and Malaysia markets demonstrated a greater capacity to absorb and adapt to pandemic-induced disruptions, showing the least decline and a swift recovery within 121 days around the pandemic’s announcement. Furthermore, our descriptive analysis highlights that Indonesia, Singapore, and Malaysia (KLSE) have emerged as the top-performing markets in terms of liquidity throughout the pandemic and its aftermath. |
| format | Article |
| id | doaj-art-a79ab354adc543dfaaab4fb786171d7f |
| institution | DOAJ |
| issn | 2158-2440 |
| language | English |
| publishDate | 2025-04-01 |
| publisher | SAGE Publishing |
| record_format | Article |
| series | SAGE Open |
| spelling | doaj-art-a79ab354adc543dfaaab4fb786171d7f2025-08-20T02:55:56ZengSAGE PublishingSAGE Open2158-24402025-04-011510.1177/21582440251336112COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-PandemicChi Pham Thi Bich0Linh Nguyen Ha1Thu Vu Thi Minh2 National Economics University, Hanoi, Vietnam National Economics University, Hanoi, Vietnam National Economics University, Hanoi, VietnamThis study investigates liquidity trends in key Southeast Asian markets, specifically focusing on the ASEAN-6 countries (Indonesia, Thailand, Singapore, Malaysia, Vietnam, and the Philippines) during and after the COVID-19 pandemic. Utilizing regression models, we analyze how trading volume, volatility, price movements, and their interactions have collectively influenced liquidity dynamics across these markets within 121 days around the pandemic’s announcement. We use three primary liquidity indicators: bid-ask spreads, Amihud’s illiquidity ratio, and the return-turnover ratio. The findings indicate that in the short term, COVID-19 shock, trading volume, and volatility significantly affected liquidity across the ASEAN-6 indices, with notable variations among the markets. Specifically, the Singapore and Malaysia markets demonstrated a greater capacity to absorb and adapt to pandemic-induced disruptions, showing the least decline and a swift recovery within 121 days around the pandemic’s announcement. Furthermore, our descriptive analysis highlights that Indonesia, Singapore, and Malaysia (KLSE) have emerged as the top-performing markets in terms of liquidity throughout the pandemic and its aftermath.https://doi.org/10.1177/21582440251336112 |
| spellingShingle | Chi Pham Thi Bich Linh Nguyen Ha Thu Vu Thi Minh COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-Pandemic SAGE Open |
| title | COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-Pandemic |
| title_full | COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-Pandemic |
| title_fullStr | COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-Pandemic |
| title_full_unstemmed | COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-Pandemic |
| title_short | COVID-19 and Liquidity Dynamics: Analyzing ASEAN-6 Stock Markets During and Post-Pandemic |
| title_sort | covid 19 and liquidity dynamics analyzing asean 6 stock markets during and post pandemic |
| url | https://doi.org/10.1177/21582440251336112 |
| work_keys_str_mv | AT chiphamthibich covid19andliquiditydynamicsanalyzingasean6stockmarketsduringandpostpandemic AT linhnguyenha covid19andliquiditydynamicsanalyzingasean6stockmarketsduringandpostpandemic AT thuvuthiminh covid19andliquiditydynamicsanalyzingasean6stockmarketsduringandpostpandemic |