| dc.description.abstract | This paper examines the impact of the COVID-19 pandemic’s health effects
on the municipal bond market. We analyze liquidity and trading activity
measures, and how they correlate with COVID-19 health variables. The goal is
to understand the municipal bond market dynamics during the crisis. Results
show that there has been a decrease in monthly bond trades during COVID-
19, indicating a significant change. We find that COVID-19 has affected our
measures differently. Lower liquidity in the Amihud and Effective Firm-Facing
Spread, while the Imputed Round-trip Cost measure indicates higher liquidity.
The Roll measure shows that the COVID-19 variables may differ, and it does
not provide any substantial support for an increase or decrease in liquidity.
Furthermore, we also find that COVID-19 has impacted bond trading activity,
such as an increase in COVID-19 cases and deaths associated with higher
bond trading activity. We believe our findings provide valuable insights for
investors, market participants, and policymakers in understanding the effects
of the pandemic on municipal bond markets and inform investment strategies,
risk management approaches, and decision-making processes. Ultimately, this
research contributes to a deeper understanding of COVID-19’s impact on
municipal bond trading and its implications for market stability and efficiency.
Keywords – | en_US |
