Table 8.

Difference-in-differences analysis for index and non-index stocks around the COVID-19 pandemic.

	Quoted spread	Effective spread	Realized spread	Price impact
High margin	109.9${}^{\mathrm{\ast \ast \ast }}$	99.1${}^{\mathrm{\ast \ast \ast }}$	−66.9${}^{\mathrm{\ast }}$	114.8${}^{\mathrm{\ast \ast \ast }}$
	(1.0)	(0.9)	(38.7)	(1.5)
Index constituent	−10.7${}^{\mathrm{\ast \ast \ast }}$	−12.9${}^{\mathrm{\ast \ast \ast }}$	81.0	−7.5${}^{\mathrm{\ast \ast \ast }}$
	(1.8)	(1.6)	(81.1)	(2.6)
High margin × Index constituent	36.2${}^{\mathrm{\ast \ast \ast }}$	32.6${}^{\mathrm{\ast \ast \ast }}$	227.7${}^{\mathrm{\ast \ast }}$	10.4${}^{\mathrm{\ast \ast \ast }}$
	(2.1)	(1.9)	(100.5)	(3.1)
Volume	3.9${}^{\mathrm{\ast \ast \ast }}$	3.8${}^{\mathrm{\ast \ast \ast }}$	0.1	−1.5${}^{\mathrm{\ast \ast \ast }}$
	(0.4)	(0.3)	(14.5)	(0.5)
Return	−1.3${}^{\mathrm{\ast \ast \ast }}$	−0.9${}^{\mathrm{\ast \ast \ast }}$	−7.8	−1.1${}^{\mathrm{\ast \ast \ast }}$
	(0.1)	(0.1)	(5.7)	(0.2)
Constant	107.4${}^{\mathrm{\ast \ast \ast }}$	100.0${}^{\mathrm{\ast \ast \ast }}$	−300.6	183.6${}^{\mathrm{\ast \ast \ast }}$
	(5.6)	(5.0)	(209.3)	(8.1)
Observations	47,805	47,805	26,239	47,805
${\overline{\text{R}}}^2$	0.3	0.4	0.003	0.2

The table reports the changes to liquidity measures around the COVID-19 pandemic for index and non-index stocks in global markets. Specifically, we report the results for the following difference-in-differences regression:

$\begin{array}{ccc}\hfill Liquidit{y}_{i,t}& \hfill =\hfill & {\alpha }_0+{\beta }_{1}Highmargi{n}_t+{\beta }_{2}Indexconstituen{t}_i\hfill \\ \hfill & \hfill +\hfill & {\beta }_{3}Highmargin\times Indexconstituen{t}_{i,t}\hfill \\ \hfill & \hfill +\hfill & {\beta }_{4}Volum{e}_{i,t}+{\beta }_{5}Retur{n}_{i,t}+{\varepsilon }_{i,t},\hfill \end{array}$

where ${Liquidity}_{i,t}$ is one of the following liquidity variables: Quoted spread, Effective spread, Realized spread or Price impact for stock i on day t. The dependent variables are calculated daily, and are expressed in basis points. For each stock, the liquidity measure is normalized based on the average of January liquidity measures. High margin is an indicator variable equal to 1 for the period after the World Health Organization declares the COVID-19 outbreak a pandemic (March 11–April 11, 2020), and 0 for the pre-pandemic period (February 11–March 10, 2020). Index constituent is an indicator variable equal to 1 if the stock belongs in the main market index for the stock’s listing market as outlined in Table 1. Volume is the natural logarithm of the daily number of shares traded in the stock. Return is the percentage return for the main stock market index for the stock’s listing market as outlined in Table 1. The estimation uses data for Canada, Hong Kong, Norway, Sweden and U.K. ${}^{\mathrm{\ast \ast \ast }}$, ${}^{\mathrm{\ast \ast }}$, and ${}^{\mathrm{\ast }}$ denote statistical significance at the 1%, 5%, and 10% levels, respectively.