Contagious margin calls: How COVID-19 threatened global stock market liquidity

Sean Foley, Amy Kwan, Richard Philip, Bernt Arne Ødegaard

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)


The outbreak of the COVID-19 pandemic caused some of the largest — and fastest — market dislocations in modern history. During the outbreak, liquidity quickly evaporated in a coordinated fashion across global markets. We show that a sudden increase in margin requirements during the pandemic is correlated with the withdrawal of global liquidity providers. These effects are concentrated in securities most exposed to high-frequency market makers, consistent with the binding nature of increased capital constraints.
Original languageEnglish
Article number100689
Pages (from-to)1-23
Number of pages23
JournalJournal of Financial Markets
Issue numberPart A
Early online date30 Oct 2021
Publication statusPublished - Jun 2022


  • COVID-19
  • Margin requirements
  • Stock market liquidity
  • liquidity spiral


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