Table 3.
Liquidity Network Change Analysis.
| Industry Groups | %change In+out | Rank | %change out | Rank | %change In | Rank |
|---|---|---|---|---|---|---|
| Utilities | 97.3 | 1 | 45.3 | 21 | 171.2 | 1 |
| Real Estate | 86.6 | 2 | 45.3 | 22 | 145.5 | 2 |
| Commercial & Professional Serv | 86.3 | 3 | 84.8 | 6 | 88.7 | 8 |
| Materials | 82.7 | 4 | 53.5 | 18 | 122.9 | 4 |
| Insurance | 80.2 | 5 | 82.9 | 8 | 77.1 | 9 |
| Retailing | 79.9 | 6 | 63.7 | 12 | 95.8 | 6 |
| Health Care Equipment & Servic | 78.1 | 7 | 46.2 | 20 | 117.7 | 5 |
| Automobiles & Components | 78.0 | 8 | 100.3 | 3 | 55.0 | 12 |
| Consumer Durables & Apparel | 76.6 | 9 | 26.8 | 24 | 145.4 | 3 |
| Capital Goods | 67.6 | 10 | 46.7 | 19 | 91.2 | 7 |
| Diversified Financials | 64.7 | 11 | 66.8 | 11 | 62.8 | 11 |
| Software & Services | 62.0 | 12 | 106.6 | 1 | 24.7 | 18 |
| Consumer Services | 61.7 | 13 | 94.1 | 4 | 31.8 | 17 |
| Technology Hardware & Equipmen | 57.9 | 14 | 67.9 | 9 | 50.0 | 14 |
| Food, Beverage & Tobacco | 56.0 | 15 | 67.6 | 10 | 44.3 | 15 |
| Transportation | 54.9 | 16 | 55.2 | 16 | 54.6 | 13 |
| Energy | 53.3 | 17 | 36.5 | 23 | 72.5 | 10 |
| Semiconductors & Semiconductor | 52.1 | 18 | 104.5 | 2 | 9.9 | 21 |
| Media & Entertainment | 45.2 | 19 | 54.8 | 17 | 39.2 | 16 |
| Pharmaceuticals, Biotechnology | 34.8 | 20 | 63.2 | 13 | 13.9 | 19 |
| Household & Personal Products | 32.9 | 21 | 62.7 | 14 | 10.3 | 20 |
| Banks | 26.4 | 22 | 88.9 | 5 | −10.7 | 22 |
| Food & Staples Retailing | 26.0 | 23 | 83.8 | 7 | −16.4 | 23 |
| Telecommunication Services | 3.9 | 24 | 57.3 | 15 | −16.9 | 24 |
Notes: Industry-wise percentage change between pre-COVID period to COVID impact period of all the liquidity network metrics resulted from the linear Granger-causality relationships (at the 5% level of significance). The sample consists of all the firms included in S&P500 during pre-COVID period of 08/01/2012 to 29/12/2019 and the COVID-19 impact period from 08/03/2020 to 20/06/2020.
%ChangeOut reports industry-wise percentage change between Out pre-COVID period to COVID-19 period.
%ChangeIn presents industry-wise percentage change between In pre-COVID period to COVID-19 period, and%Change In+Out shows the industry-wise percentage change between averaged Out+In pre-COVID period to COVID-19 period. The difference is calculated from COVID-19 minus Pre-COVID. The ranks are assigned in descending order. The table is sorted by rank of%Change In+Out.