The asymmetric effect of COVID-19 government interventions on global stock markets: New evidence from QARDL and threshold regression approaches

Mohammad Abdullah, G M Wali Ullah, Mohammad Ashraful Ferdous Chowdhury

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)

Abstract

We examine the asymmetric effect of COVID-19 government interventions on global stock markets using a sample of 61 countries over the period of January 2020 to December 2021, applying Quantile ARDL (QARDL) and panel threshold regressions. The QARDL results show a heterogenous effect of government interventions on stock markets which varies along with country income level and stock market size. Additionally, the panel threshold regression reveals a positive effect before and a negative effect after the threshold level of government interventions. Our findings can assist policymakers to formulate intervention plans in limiting financial turbulence.

Original languageEnglish
Pages (from-to)268-288
Number of pages21
JournalInvestment Analysts Journal
Volume51
Issue number4
DOIs
Publication statusPublished - 2022
Externally publishedYes

Keywords

  • COVID-19
  • stock market
  • threshold analysis
  • Quantile ARDL
  • stringency index

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