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

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.

KEYWORDS:

• COVID-19
• stock market
• threshold analysis
• Quantile ARDL
• stringency index

JEL CLASSIFICATION:

• G01
• G12
• G15
• G18
• H12
• H51
• I18

Disclosure statement

No conflict of interest was reported by the authors.

Data availability statement

This study used combined data from multiple sources. COVID-19 data are available at https://github.com/OxCGRT/covid-policy-tracker and https://github.com/CSSEGISandData/COVID-19. Stock market data are available from Datastream.