The asymmetric effect of COVID-19 government interventions on global stock markets: New evidence from QARDL and threshold regression approaches. Issue 4 (2nd October 2022)

• Record Type: Journal Article
• Authors: Abdullah, Mohammad; Wali Ullah, G. M.; Chowdhury, Mohammad Ashraful Ferdous
• Is Part Of: Investment analysts journal. Volume 51:Issue 4(2022)
• Page Start: 268
• Page End: 288
• Publication Date: 2022-10-02
• Subjects: COVID-19 -- stock market -- threshold analysis -- Quantile ARDL -- stringency index; G01 -- G12 -- G15 -- G18 -- H12 -- H51 -- I18; Investment analysis -- Periodicals; Investments -- Africa, Southern -- Periodicals; Finance -- Periodicals; Finance; Investment analysis; Investments; Africa, Southern; Periodicals; 332.605
• DOI: 10.1080/10293523.2022.2112665
• Languages: English
• ISSNs: 2077-0227

Abstract

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.