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

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.