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

页码：268 / 288

页数：21

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