Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis

Did the COVID-19 pandemic (really) positively impact the IPO Market? An Analysis of information uncertainty

“…A growing stream of academic research focuses on analyzing the impact of the COVID-19 pandemic on financial markets. Scholars have, among other things, studied equity markets ( Ashraf, 2020 ; Baker et al., 2020 ; Zhang et al., 2020 ; Bretscher et al., 2020 ; Baig et al., 2021 ; Ke, 2021 ), debt markets ( Hasan et al., 2021 ; O'Hara and Zhou, 2021 ; Zaremba et al, 2021 a, 2021 b), derivative markets ( Johnand Li, 2021 ; Jackwerth, 2020 ), commodities ( Corbet et al., 2020 ; Lin and Su, 2021 ), cryptocurrencies ( Conlon et al., 2020 ; Goodell and Goutte, 2021 ), commercial banks ( Çolak and Şenol, 2021 ; Li et al., 2020 ), and institutional investors ( Pástor and Vorsatz, 2020 ; Mirza et al., 2020 ). All in all, there seems to be a consensus that pandemic-induced uncertainty and the associated government responses adversely impacted the quality and performance of markets and institutions.…”

Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges

“…Another strand of literature has focused on the effect of Covid‐19 on financial and commodity market liquidity. This study has documented deteriorated liquidity conditions in the US fixed‐income market, including US Government bonds (Ermolov, 2020 ) and corporate bonds (Kargar et al, 2020 ; O'Hara & Zhou, 2021 ). Focusing on agricultural futures markets, Peng et al ( 2021 ) find a substantial decrease in soybean futures liquidity several weeks before US equity, bond as well as other agricultural markets were impacted.…”

COVID-19 Pandemic and Global Corporate CDS Spreads

“… Haddad et al (2021) document extreme disruptions in U.S. corporate bond markets with a severe price crash, including large holdings of investment-grade bonds trading at a discount to CDS due to an acute need for liquidity on the part of specific bond investors such as mutual funds. 2 Falato et al (2021) and O'Hara and Zhou (2021) also study illiquidity and frictions in the U.S. bond market during the COVID-19 crisis. Given documented disruptions to the liquidity and functioning of the corporate bond market during the COVID-19 crisis, we use CDS spreads as a measure of corporate credit risk in our study.…”