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

被引：13
作者：
Abdullah, Mohammad [1 ]
Ullah, G. M. Wali [2 ]
Chowdhury, Mohammad Ashraful Ferdous [3 ]
机构：
[1] Univ Sultan Zainal Abidin, Fac Business & Management, Terengganu, Malaysia
[2] Australian Inst Business AIB, Finance Discipline, Adelaide, SA, Australia
[3] King Fahd Univ Petr & Minerals KFUPM, Interdisciplinary Res Ctr IRC Finance & Digital E, KFUPM Business Sch, Dhahran, Saudi Arabia
来源：
INVESTMENT ANALYSTS JOURNAL | 2022年 / 51卷 / 04期
关键词：
COVID-19; stock market; threshold analysis; Quantile ARDL; stringency index; UNCERTAINTY; QUANTILE;
D O I：
10.1080/10293523.2022.2112665
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：268 / 288
页数：21
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