The Impact of Government Interventions on Cross-Listed Securities: Evidence from the COVID-19 Pandemic

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This paper examines the impact of COVID-19 related governments' interventions on the volatility and liquidity of American depository receipts (ADRs). Using a wide dataset of 387 ADRs from 34 countries around the globe, we provide an examination of the effect of economic and non-economic interventions on the quality of these cross-listed securities. Our results suggest that closures, restrictions, as well as containment health steps implemented during the outbreak period of the pandemic, seem to deteriorate the ADRs' liquidity and stability. The negative impact holds for different control variables and regression specifications and is not subsumed by the inclusion of the daily confirmed cases as a proxy for the severity of the pandemic. The information documented here may assist financial market participants in their risk management. The findings could also be important for policymakers for their preparedness plans in case of future crises.