Impact of government policy responses of COVID-19 pandemic on stock market liquidity for Australian companies

IF 1.2 4区 经济学 Q3 ECONOMICS
Talie Kassamany, Bernard Zgheib
{"title":"Impact of government policy responses of COVID-19 pandemic on stock market liquidity for Australian companies","authors":"Talie Kassamany,&nbsp;Bernard Zgheib","doi":"10.1111/1467-8454.12280","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":46169,"journal":{"name":"Australian Economic Papers","volume":"62 1","pages":"24-46"},"PeriodicalIF":1.2000,"publicationDate":"2022-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9539034/pdf/AEPA-9999-0.pdf","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Australian Economic Papers","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/1467-8454.12280","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 1

Abstract

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.

政府应对新冠肺炎疫情的政策对澳大利亚公司股票市场流动性的影响
本研究分别调查了政府应对COVID-19大流行对澳大利亚上市公司和11个不同行业股票市场流动性的影响。在2020年1月25日至2020年12月31日期间,对1452家公司的样本使用了定量演绎法,共进行了292164次公司日观察。进行了单因素和多因素(双向聚类-稳健面板回归)分析。数据收集自Oxford COVID-19政府响应跟踪器、Worldmeter、Refinitiv Workspace和Datastream。我们的研究结果表明,七个紧缩政策反应中的六个影响降低了澳大利亚股票市场的流动性。然而,公共宣传活动增强了市场流动性,从而促进了交易活动。在这11个行业中,我们的分析表明,澳大利亚政府的非医药干预对四个行业产生了显著的积极影响:非周期消费品、医疗保健、金融和科技。然而,工业(运输)和能源行业受到的影响最为严重。这项研究对投资者、政策制定者和监管机构了解政府应对COVID-19对股市流动性的不同影响,以增强金融稳定具有重要意义。此外,了解这种影响对于投资组合和基金经理等决策者在COVID-19等极端动荡时期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,本研究在坚实的基础上考察了政府干预对发达的澳大利亚股市流动性的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
CiteScore
3.20
自引率
5.30%
发文量
36
期刊介绍: Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信