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

doi:10.1080/10293523.2022.2112665

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 journal › Article › peer-review

14 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 language	English
Pages (from-to)	268-288
Number of pages	21
Journal	Investment Analysts Journal
Volume	51
Issue number	4
DOIs	https://doi.org/10.1080/10293523.2022.2112665
Publication status	Published - 2022
Externally published	Yes

Keywords

COVID-19
stock market
threshold analysis
Quantile ARDL
stringency index

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10.1080/10293523.2022.2112665Licence: In Copyright

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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.",

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AU - Chowdhury, Mohammad Ashraful Ferdous

PY - 2022

Y1 - 2022

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AB - 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.

KW - COVID-19

KW - stock market

KW - threshold analysis

KW - Quantile ARDL

KW - stringency index

U2 - 10.1080/10293523.2022.2112665

DO - 10.1080/10293523.2022.2112665

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

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Keywords

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