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

Finance

Research output: Contribution to journal › Article › peer-review

16 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)	1-21
Number of pages	21
Journal	Investment Analysts Journal
DOIs	https://doi.org/10.1080/10293523.2022.2112665
Publication status	Published - 26 Sept 2022

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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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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.

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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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