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US Equity Liquidity Update

May 18, 2020

On March 31, 2020, we released a study of the impact of the ongoing COVID-19 crisis on US equity market liquidity1. In it, we compared spread costs, market impact costs, intraday market conditions, and market resilience during the crisis and under normal market conditions, and found that volatility, spreads, and market impact increased dramatically in the month of March. This brief update shows how liquidity in the US equity market has begun to recover since then.