Impact of COVID-19 lockdowns on retail stock trading patterns

Figures & data

Figure 1. Impact of the COVID-19 on human health lives in US (April–September 2020).

Source: World Health Organization

Figure 2. Impact of the COVID-19 on human health lives in EU (April–September 2020).

Figure 3. Impact of the COVID-19 on human health lives in Asia (April–September 2020).

Source: World Health Organization

Table 1. Median differences of stock trading patterns in the US

Panel A: Large capitalization companies (S&P 500)
	LIQ	VOL	VOLAT
Median 2Q-3Q 2018	−0.0124	0.0020	0.1487
Median 2Q-3Q 2019	−0.0187	0.0019	0.1701
Median 2Q-3Q 2020	−0.0242	0.0024	0.2890
Median 2Q-3Q 2021	−0.0240	0.0019	0.1593
Test Statistic	235.39	62.95	808.73
p-value	0.000	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2018 Test Statistic	488.42	−230.82	−924.17
p-value	0.000	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2019 Test Statistic	170.33	−235.59	−723.95
p-value	0.000	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2021 Test Statistic	−6.93	237.20	824.42
p-value	0.848	0.000	0.000
Panel B: Small capitalization companies (Russell 2000)
Median 2Q-3Q 2018	−0.0412	0.2261	0.0017
Median 2Q-3Q 2019	−0.0219	0.2693	0.0020
Median 2Q-3Q 2020	−0.0246	0.4796	0.0028
Median 2Q-3Q 2021	−0.0371	0.2693	0.0022
Test Statistic	99.80	2309.77	470.73
p-value	0.000	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2018 Test Statistic	−123.12	−3114.86	−1441.98
p-value	0.085	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2019 Test Statistic	84.75	−2451.31	−1092.27
p-value	0.226	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2021 Test Statistic	555.97	2479.27	525.59
p-value	0.000	0.000	0.000

Table 2. Median differences of stock trading patterns in EU

	LIQ	VOL	VOLAT
Median 2Q-3Q 2018	−0.2031	0.0026	0.1421
Median 2Q-3Q 2019	−0.1771	0.0024	0.1615
Median 2Q-3Q 2020	−0.1763	0.0026	0.2722
Median 2Q-3Q 2021	−0.1376	0.0018	0.1611
Test Statistic	4.14	66.74	292.46
p-value	0.247	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2018 Test Statistic	-	−15.68	−335.23
p-value	-	0.457	0.000
2Q-3Q 2020 vs. 2Q-3Q 2019 Test Statistic	-	−34.07	−259.18
p-value	-	0.106	0.000
2Q-3Q 2020 vs. 2Q-3Q 2021 Test Statistic	-	156.14	262.78
p-value	-	0.000	0.000

Table 3. Median differences of stock trading patterns in Asia

	LIQ	VOL	VOLAT
Median 2Q-3Q 2018	−2.4231	0.0038	0.1645
Median 2Q-3Q 2019	−3.0172	0.0034	0.1780
Median 2Q-3Q 2020	−3.6794	0.0039	0.2547
Median 2Q-3Q 2021	−3.0573	0.0033	0.1924
Test Statistic	8.70	6.52	266.90
p-value	0.034	0.089	0.000
2Q-3Q 2020 vs. 2Q-3Q 2018 Test Statistic	79.76	-	−403.81
p-value	0.003	-	0.000
2Q-3Q 2020 vs. 2Q-3Q 2019 Test Statistic	40.63	-	−355.77
p-value	0.132	-	0.000
2Q-3Q 2020 vs. 2Q-3Q 2021 Test Statistic	−41.38	-	259.52
p-value	0.125	-	0.000

Table 4. Median differences of stock trading patterns in blended global stock exchanges

	LIQ	VOL	VOLAT
Median 2Q-3Q 2018	−0.0343	0.0024	0.1485
Median 2Q-3Q 2019	−0.0432	0.0023	0.1657
Median 2Q-3Q 2020	−0.0537	0.0027	0.2703
Median 2Q-3Q 2021	−0.0567	0.0021	0.1640
Test Statistic	30.43	154.59	1633.09
p-value	0.000	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2018 Test Statistic	286.94	−414.56	−2069.60
p-value	0.000	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2019 Test Statistic	111.22	−421.43	−1698.46
p-value	0.049	0.000	0.000
2Q-3Q 2020 vs. 2Q-3Q 2021 Test Statistic	−33.47	698.18	1737.70
p-value	0.554	0.000	0.000

Table 5. Statistically significant variations of stock trading patterns

Stock trading pattern Variables	Period	US (Large Cap.)	US (Small Cap.)	EU	Asia	Blended Global
LIQ	2Q-3Q 2020 vs. 2Q-3Q 2018	Increase			Increase	Increase
	2Q-3Q 2020 vs. 2Q-3Q 2019	Increase				Increase
	2Q-3Q 2020 vs. 2Q-3Q 2021		Increase
VOL	2Q-3Q 2020 vs. 2Q-3Q 2018	Increase	Increase			Increase
	2Q-3Q 2020 vs. 2Q-3Q 2019	Increase	Increase			Increase
	2Q-3Q 2020 vs. 2Q-3Q 2021	Decrease	Decrease	Decrease		Decrease
VOLAT	2Q-3Q 2020 vs. 2Q-3Q 2018	Increase	Increase	Increase	Increase	Increase
	2Q-3Q 2020 vs. 2Q-3Q 2019	Increase	Increase	Increase	Increase	Increase
	2Q-3Q 2020 vs. 2Q-3Q 2021	Decrease	Decrease	Decrease	Decrease	Decrease

Table 6. LIQ factors in US

Panel A: Large capitalization companies (S&P 500)
Independent Variables	2Q-3Q 2018		2Q-3Q 2019		2Q-3Q 2020		2Q-3Q 2021
C	0.508	**	0.297	**	0.422	***	0.213	**
	(0.2141)		(0.1349)		(0.1568)		(0.0983)
VOL	0.079	***	0.060	***	0.075	***	0.047	***
	(0.0171)		(0.0123)		(0.0131)		(0.0116)
VOLAT	−0.192	**	−0.090	*	−0.129	***	−0.069	**
	(0.0905)		(0.0472)		(0.0435)		(0.0273)
PRICE	−0.058	**	−0.044	***	−0.057	***	−0.070	***
	(0.0248)		(0.0099)		(0.0094)		(0.0086)
FLOAT	0.001		0.001		0.001	***	0.002	***
	(0.0005)		(0.0006)		(0.0005)		(0.0004)
INSID	0.000		−0.001		−0.001		0.000
	(0.0008)		(0.0011)		(0.001)		(0.0007)
INSTIT	0.001	***	0.001	***	0.001		0.001	***
	(0.0004)		(0.0003)		(0.0004)		(0.0002)
J-statistic	35.59		16.21		15.17		14.34
p-value	0.000		0.063		0.086		0.111
Panel B: Small capitalization companies (Russell 2000)
Independent Variables	2Q-3Q 2018		2Q-3Q 2019		2Q-3Q 2020		2Q-3Q 2021
C	−0.023		0.013		−0.112		0.242	***
	(0.0307)		(0.0369)		(0.0865)		(0.06)
VOL	−0.010	**	−0.012	**	−0.032	***	−0.016	***
	(0.0045)		(0.0046)		(0.0082)		(0.006)
VOLAT	0.028		−0.032		0.079	*	−0.161	***
	(0.0406)		(0.0306)		(0.0441)		(0.0603)
PRICE	−0.018	***	−0.029	***	−0.045	***	−0.077	***
	(0.0033)		(0.0029)		(0.0051)		(0.0102)
FLOAT	0.000		0.000	**	0.001		0.000
	(0.0001)		(0.0001)		(0.0004)		(0.0004)
INSID	0.000		0.000		0.000		−0.001
	(0.0002)		(0.0003)		(0.0004)		(0.001)
INSTIT	0.000		0.000		0.000		0.000	*
	(0.0001)		(0.0001)		(0.0002)		(0.0003)
J-statistic	5.93		7.09		10.59		6.33
p-value	0.747		0.628		0.305		0.707

Note: Figures in () are standard errors. *, ** and ***, indicate significance at the 10%, 5% and 1% levels, respectively.

Table 7. LIQ factors in EU

Independent Variables	2Q-3Q 2018		2Q-3Q 2019		2Q-3Q 2020		2Q-3Q 2021
C	−0.178		−1.498		0.471		0.137
	(0.8724)		(1.7538)		(0.9963)		(0.6142)
VOL	−0.198		−0.517	*	−0.175		−0.193	**
	(0.1242)		(0.2685)		(0.155)		(0.0891)
VOLAT	0.954		−0.172		0.577		0.700
	(0.6279)		(1.4462)		(0.5225)		(0.7241)
PRICE	−0.407	***	−0.507	***	−0.509	***	−0.379	***
	(0.0537)		(0.0688)		(0.0657)		(0.0446)
FLOAT	0.007	**	0.006	**	0.004	*	0.005	***
	(0.0027)		(0.0029)		(0.0023)		(0.0017)
INSID	0.009	*	0.014	*	0.000		0.007	*
	(0.0047)		(0.0076)		(0.0064)		(0.0035)
INSTIT	0.000		0.002		0.003	**	−0.003
	(0.0008)		(0.0012)		(0.0012)		(0.0019)
J-statistic	16.40		18.25		14.27		16.02
p-value	0.059		0.032		0.113		0.066

Note: Figures in () are standard errors. *, ** and ***, indicate significance at the 10%, 5% and 1% levels, respectively.

Table 8. LIQ factors in Asia

Independent Variables	2Q-3Q 2018		2Q-3Q 2019		2Q-3Q 2020		2Q-3Q 2021
C	5.977		12.604	**	4.692		10.860
	(6.9962)		(6.3659)		(6.7147)		(8.5841)
VOL	−0.596		0.308		−0.765		0.030
	(0.7085)		(0.6306)		(0.7649)		(0.8235)
VOLAT	−8.038		−3.741		13.368	**	−2.491
	(8.1609)		(7.5361)		(5.707)		(10.6705)
PRICE	−2.039	***	−2.300	***	−2.783	***	−2.670	***
	(0.3204)		(0.3973)		(0.5326)		(0.4152)
FLOAT	0.027		0.024		0.031	**	0.054	**
	(0.0182)		(0.018)		(0.015)		(0.0226)
INSID	−0.031		−0.159	**	−0.293	**	−0.132	*
	(0.0512)		(0.0755)		(0.136)		(0.071)
INSTIT	0.003		−0.007		−0.011		−0.008
	(0.0159)		(0.015)		(0.0241)		(0.0161)
J-statistic	8.91		6.13		12.68		8.26
p-value	0.445		0.727		0.178		0.508

Note: Figures in () are standard errors. *, ** and ***, indicate significance at the 10%, 5% and 1% levels, respectively.

Table 9. LIQ factors in blended global stock exchanges

Independent Variables	2Q-3Q 2018		2Q-3Q 2019		2Q-3Q 2020		2Q-3Q 2021
C	0.508	**	0.297	**	0.422	***	−15.260
	(0.2141)		(0.1349)		(0.1568)		(15.052)
VOL	0.079	***	0.060	***	0.075	***	−2.984
	(0.0171)		(0.0123)		(0.0131)		(2.0868)
VOLAT	−0.192	**	−0.090	*	−0.129	***	−2.763
	(0.0905)		(0.0472)		(0.0435)		(15.5958)
PRICE	−0.058	**	−0.044	***	−0.057	***	−3.115	***
	(0.0248)		(0.0099)		(0.0094)		(1.1145)
FLOAT	0.001		0.001		0.001	***	0.083
	(0.0005)		(0.0006)		(0.0005)		(0.054)
INSID	0.000		−0.001		−0.001		0.001
	(0.0008)		(0.0011)		(0.001)		(0.1294)
INSTIT	0.001	***	0.001	***	0.001		0.041
	(0.0004)		(0.0003)		(0.0004)		(0.034)
J-statistic	35.59		16.21		15.17		14.51
p-value	0.000		0.063		0.086		0.105

Note: Figures in () are standard errors. *, ** and ***, indicate significance at the 10%, 5% and 1% levels, respectively.

Table 10. Variations of LIQ factors during the first COVID-19 period

LIQ factors	US (Large Cap.)	US (Small Cap.)	EU	Asia	Blended Global
VOLAT		Became positive factor in 2020 and negative factor in 2021	Ceased being negative factor in 2020	Became positive factor in 2020
PRICE	Consistently negative factor in all periods	Consistently negative factor in all periods	Consistently negative factor in all periods	Consistently negative factor in all periods	Consistently negative factor in all periods
FLOAT	Became positive factor in 2020 and 2021			Became positive factor in 2020 and 2021	Became positive factor in 2020
INSID			Ceased being positive factor in 2020
INSTIT	Ceased being positive factor in 2020		Became positive factor in 2020		Ceased being positive factor in 2020