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

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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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Abdullah, M., Wali Ullah, G. M., & Chowdhury, M. A. F. (2022). The asymmetric effect of COVID-19 government interventions on global stock markets: New evidence from QARDL and threshold regression approaches. Investment Analysts Journal, 51(4), 268–288. https://doi.org/10.1080/10293523.2022.2112665

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