Table A.1.

Liquidity Change Analysis Pre-COVID and COVID Period.

Industry Groups	Pre-COVID		COVID		COVID to pre-COVID
	Aliq*	Rank	Aliq*	Rank	%change Aliq*	Rank
Consumer Durables & Apparel	−1.231	20	−5.221	24	324.239	1
Household & Personal Products	−0.602	2	−2.256	13	275.027	2
Banks	−0.794	8	−2.818	17	255.118	3
Energy	−1.016	15	−3.522	21	246.757	4
Media & Entertainment	−1.233	21	−4.188	23	239.640	5
Insurance	−1.079	18	−3.609	22	234.425	6
Automobiles & Components	−0.995	12	−3.037	19	205.148	7
Real Estate	−1.003	13	−2.923	18	191.441	8
Retailing	−0.792	7	−1.956	11	146.961	9
Technology Hardware & Equipmen	−1.057	16	−2.597	14	145.646	10
Capital Goods	−1.073	17	−2.635	16	145.480	11
Materials	−1.252	23	−3.064	20	144.756	12
Utilities	−0.941	10	−1.929	10	104.946	13
Diversified Financials	−1.009	14	−2.008	12	98.964	14
Health Care Equipment & Servic	−0.788	6	−1.529	8	94.037	15
Software & Services	−0.801	9	−1.546	9	92.941	16
Transportation	−0.772	5	−1.366	5	76.994	17
Commercial & Professional Serv	−1.649	24	−2.621	15	58.961	18
Pharmaceuticals, Biotechnology	−0.687	3	−1.030	4	49.979	19
Food, Beverage & Tobacco	−0.964	11	−1.412	6	46.492	20
Food & Staples Retailing	−0.462	1	−0.626	1	35.509	21
Consumer Services	−1.211	19	−1.478	7	22.090	22
Semiconductors & Semiconductor	−0.713	4	−0.841	2	17.914	23
Telecommunication Services	−1.235	22	−0.879	3	−28.864	24

Notes: Following Lee et al. (2014), the liquidity ratio is calculated as follows:.

$Amihu{d}_{i,d}=\left[-\log \left(1+\frac{\left|R_{i,d}\right|}{P_{i,d}V{O}_{i,d}}\right)\right]\times {10}^6.$

The liquidity is referred as Aliq. Pre-COVID Aliq and Pre-COVID Rank are the weekly average of Aliq and its relative rank for all the firms included in S&P500 over the period of 08/01/2012 to 29/12/2019, respectively. COVID Aliq and COVID Rank are the weekly average of Aliq and its relative rank for all the firms included in S&P500 over the period of 08/03/2020 to 20/06/2020, respectively.%Change reports the percentage change in the Aliq of COVID to pre-COVID period. The difference is calculated as COVID minus Pre-COVID. The table is sorted according to the rank of%Change in descending order. Aliq* is Aliq rescaled by 10,000.