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Abstract Traditional market pricing models assume frictionless markets with abundant liquidity. This traditional models also incorporate stock market liquidity as an exogenous cost. However, this paradigm has many shortcomings due to its inability to explain some of the problems associated with security market illiquidity. The aim of this study was to explore the concept of stock market liquidity during periods of financial distress. A Markov switching GARCH model was used to investigate market liquidity in the CAC 40, DAX, JSE, Nasdaq Index and the Nikkei-225 during the 2007-2008 financial crisis and the Covid-19 pandemic. The sample period was January 1, 2020 to December 31, 2021 and December 1, 2007 to June 30, 2009. From the findings, some financial markets where still liquid despite the financial crisis with the exception of the Nasdaq index. Conversely, all the financial markets under consideration displayed strong illiquidity during the covid-19 pandemic. In essence, the level of market depth has significantly decreased from the financial crisis to the covid-19 pandemic which may be attributed to increasing margin requirements and information asymmetry as well as price restrictions. There is an urgent need for regulatory authorities to review some of the trading regulations during financial distress. Downloads Download data is not yet available. Downloads FULL TEXT Published 2023-01-14 How to Cite Enow, S. T. (2023). Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. International Journal of Economics and Financial Issues, 13(1), 1–6. https://doi.org/10.32479/ijefi.13752 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 13 No. 1 (2023) Section Articles Most read articles by the same author(s) Samuel Tabot Enow, Financial Contagion and Duration: Evidence from International Financial Markets , International Journal of Economics and Financial Issues: Vol. 13 No. 4 (2023) Samuel Tabot Enow, Investigating Joint Market Hypothesis during Periods of Financial Distress and its Implications , International Journal of Economics and Financial Issues: Vol. 13 No. 2 (2023) Samuel Tabot Enow, Capital Structure on Dividend Policy: Is There Any Relationship? , International Journal of Economics and Financial Issues: Vol. 13 No. 3 (2023) Samuel Tabot Enow, Detecting the Herding Behaviour in the South African Stock Market and its Implications , International Journal of Economics and Financial Issues: Vol. 13 No. 2 (2023) Make a Submission Make a Submission Dergi Kapağı

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