Kassamany Talie, Zgheib Bernard
Notre Dame University-Louaize Zouk Mosbeh Lebanon.
Aust Econ Pap. 2022 Oct 2. doi: 10.1111/1467-8454.12280.
This study investigates the impact of government policy responses of COVID-19 pandemic on stock market liquidity for listed Australian companies and for 11 different industries separately. A quantitative deductive approach is used for a sample of 1,452 companies with a total of 292,164 firm-day observations over a period from January 25, 2020 to December 31, 2020 during the outbreak of COVID-19. Univariate and multivariate (two-way cluster-robust panel regression) analysis were conducted. Data were collected from the Oxford COVID-19 Government Response Tracker, Worldmeter, Refinitiv Workspace and Datastream. Our findings indicate that the influences of the six out of seven stringency policy responses reduced Australian equity market liquidity. However, public information campaigns enhanced market liquidity and hence trading activity. Among the 11 industries, our analysis shows that the non-pharmaceutical interventions by the Australian government have significant and positive effects on four industries: Consumer non-cyclicals, healthcare, financial and technology. However, the worse effects were depicted in the industrial (transportation) and energy industries. This study is important for investors, policymakers and regulators to understand the diverse effects of government policy responses of COVID-19 on stock market liquidity to enhance financial stability. Moreover, understanding this effect is particularly important to decision-makers such as portfolio and fund managers to manage their portfolios and trading activities during extreme turbulence times, such as COVID-19. Unlike previous studies that focus on country analysis, this study examines on firm basis the impact of government interventions on stock market liquidity in a well developed Australian stock market.
本研究分别调查了澳大利亚政府针对新冠疫情的政策应对措施对澳大利亚上市公司以及11个不同行业股票市场流动性的影响。采用定量演绎法，以1452家公司为样本，在2020年1月25日至2020年12月31日新冠疫情爆发期间，共获得292,164个公司日观测值。进行了单变量和多变量（双向聚类稳健面板回归）分析。数据收集自牛津新冠疫情政府应对追踪器、世界计量网站、路孚特工作区和数据流。我们的研究结果表明，七项严格政策应对措施中的六项降低了澳大利亚股票市场的流动性。然而，公共信息宣传活动提高了市场流动性，从而促进了交易活动。在11个行业中，我们的分析表明，澳大利亚政府的非药物干预措施对四个行业有显著的积极影响：非周期性消费、医疗保健、金融和科技。然而，工业（运输）和能源行业受到的负面影响更为明显。本研究对于投资者、政策制定者和监管机构理解政府针对新冠疫情的政策应对措施对股票市场流动性的不同影响以增强金融稳定性具有重要意义。此外，了解这种影响对于投资组合和基金经理等决策者在极端动荡时期（如新冠疫情期间）管理其投资组合和交易活动尤为重要。与以往侧重于国家分析的研究不同，本研究在澳大利亚发达股票市场的公司层面上考察了政府干预对股票市场流动性的影响。
