The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic

•We explore the impact of Government Interventions on ADRs volatility and liquidity.•We explore both economic and non-economic measures on 387 ADRs from 34 countries.•Interventions amplify ADRs volatility and widen their spreads.•The adverse effect is robust and independent from the severity of COVID-19.•The negative effect holds for developed and emerging markets.