255
Views
7
CrossRef citations to date
0
Altmetric
Articles

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

ORCID Icon, ORCID Icon & ORCID Icon
Pages 268-288 | Received 07 Apr 2022, Accepted 04 Aug 2022, Published online: 26 Sep 2022

References

  • Aharon, D. Y., & Siev, S. (2021). COVID-19, government interventions and emerging capital markets performance. Research in International Business and Finance, 58, 101492. https://doi.org/10.1016/j.ribaf.2021.101492
  • Alaoui Mdaghri, A., Raghibi, A., Thanh, C. N., & Oubdi, L. (2021). Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries. Review of Behavioral Finance, 13(1), 51–68. https://doi.org/10.1108/RBF-06-2020-0132
  • Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326
  • Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. Available at SSRN: https://ssrn.com/abstract=3550630 or http://doi.org/10.2139/ssrn.3550630
  • Albulescu, C., Grecu, E., Zaremba, A., & Aharon, D. Y. (2021). Government interventions and sovereign bond market volatility during COVID-19: A Quantile analysis. Available https://doi.org/10.2139/ssrn.3823189
  • Albulescu, C. T. (2021). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, 38, 101699. https://doi.org/10.1016/j.frl.2020.101699
  • Ashraf, B. N. (2020). Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets. Journal of Behavioral and Experimental Finance, 27, 100371. https://doi.org/10.1016/j.jbef.2020.100371PMID:32835011
  • Aslam, F., Ferreira, P., Mughal, K. S., & Bashir, B. (2021). Intraday volatility spillovers among European financial markets during COVID-19. International Journal of Financial Studies 9(1). https://doi.org/10.3390/ijfs9010005
  • Aslam, F., Mohmand, Y. T., Ferreira, P., Memon, B. A., Khan, M., & Khan, M. (2020). Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak. Borsa Istanbul Review, 20, S49–S61. https://doi.org/10.1016/j.bir.2020.09.003
  • Baek, S., Mohanty, S. K., & Glambosky, M. (2020). COVID-19 and stock market volatility: An industry level analysis. Finance Research Letters, 37, 101748. https://doi.org/10.1016/j.frl.2020.101748
  • Bakry, W., Kavalmthara, P., Saverimuttu, V., Liu, Y., & Cyril, S. (2022). Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets. Finance Research Letters, 46(Part A). https://doi.org/10.1016/j.frl.2021.102350
  • Bekiros, S., Gupta, R., & Kyei, C. (2016). On economic uncertainty, stock market predictability and nonlinear spillover effects. The North American Journal of Economics and Finance, 36(656136), 184–191. https://doi.org/10.1016/j.najef.2016.01.003
  • Bouri, E., Naeem, M. A., Nor, S. M., Mbarki, I., & Saeed, T. (2022). Government responses to COVID-19 and industry stock returns. Economic Research-Ekonomska Istrazivanja, 35(1), 1967–1990. https://doi.org/10.1080/1331677X.2021.1929374
  • Caferra, R., Falcone, P. M., Morone, A., & Morone, P. (2022). Is COVID-19 anticipating the future? Evidence from investors’ sustainable orientation. Eurasian Business Review, 12(1), 177–196. https://doi.org/10.1007/s40821-022-00204-5
  • Chang, C. P., Feng, G. F., & Zheng, M. (2021). Government fighting pandemic, stock market return, and COVID-19 virus outbreak. Emerging Markets Finance & Trade, 57(8), 2389–2406. https://doi.org/10.1080/1540496X.2021.1873129
  • Cho, J. S., Kim, T. H., & Shin, Y. (2015). Quantile cointegration in the autoregressive distributed-lag modeling framework. Journal of Econometrics, 188(1), 281–300. https://doi.org/10.1016/j.jeconom.2015.05.003
  • Chowdhury, M. A. F., Saeed Meo, M., & Aloui, C. (2021). How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile on quantile regressions. International Review of Financial Analysis, 76, 101759. https://doi.org/10.1016/j.irfa.2021.101759
  • Ding, W., Levine, R., Lin, C., & Xie, W. (2021). Corporate immunity to the COVID-19 pandemic. Journal of Financial Economics, 141(2), 802–830. https://doi.org/10.1016/j.jfineco.2021.03.005
  • Duong, K. D., Truong, L. T. D., Huynh, T. N., & Luu, Q. T. (2022). Financial constraints and the financial distress puzzle: Evidence from a frontier market before and during the Covid-19 pandemic. Investment Analysts Journal, 51(1), 35–48. https://doi.org/10.1080/10293523.2022.2037202
  • Erdem, O. (2020). Freedom and stock market performance during Covid-19 outbreak. Finance Research Letters, 36, 101671. Advance online publication. https://doi.org/10.1016/j.frl.2020.101671
  • Evgenidis, A., Tsagkanos, A., & Siriopoulos, C. (2017). Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach. Research in International Business and Finance, 39(Part A), 267–279. https://doi.org/10.1016/j.ribaf.2016.08.002
  • Fernandez-Perez, A., Gilbert, A., Indriawan, I., & Nguyen, N. H. (2021). COVID-19 pandemic and stock market response: A culture effect. Journal of Behavioral and Experimental Finance, 29, 100454. https://doi.org/10.1016/j.jbef.2020.100454
  • Fox, J. (2008). Applied regression analysis and generalized linear models. Thousand Oaks: SAGE Publications.
  • Goel, G., & Dash, S. R. (2022). Investor sentiment and government policy interventions: evidence from COVID-19 spread. Journal of Financial Economic Policy, 14(2). https://doi.org/10.1108/JFEP-02-2021-0038
  • Gormsen, N. J., & Koijen, R. S. J. (2020). Coronavirus: Impact on stock prices and growth expectations. Review of Asset Pricing Studies, 10(4), 574–597. https://doi.org/10.1093/rapstu/raaa013
  • Guo, P., Zhu, H., & You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258. https://doi.org/10.1016/j.frl.2017.11.001
  • Guven, M., Cetinguc, B., Guloglu, B., & Calisir, F. (2022). The effects of daily growth in COVID-19 deaths, cases, and governments’ response policies on stock markets of emerging economies. Research in International Business and Finance, 61, 101659. https://doi.org/10.1016/j.ribaf.2022.101659
  • Hale, T., Angrist, N., Goldszmidt, R., Kira, B., Petherick, A., Phillips, T., Webster, S., Cameron-Blake, E., Hallas, L., Majumdar, S., & Tatlow, H. (2021). A global panel database of pandemic policies (Oxford COVID-19 Government Response Tracker). Nature Human Behaviour, 5(4), 529–538. https://doi.org/10.1038/s41562-021-01079-8PMID:33686204
  • Harjoto, M. A., Rossi, F., & Paglia, J. K. (2021). COVID-19: Stock market reactions to the shock and the stimulus. Applied Economics Letters, 28(10), 795–801. https://doi.org/10.1080/13504851.2020.1781767
  • Hashmi, S. M., Chang, B. H., & Rong, L. (2021). Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach. Research in International Business and Finance, 58, 101485. https://doi.org/10.1016/j.ribaf.2021.101485
  • Hsu, C. H., Lee, H. C., & Lien, D. (2020). Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations. International Review of Economics & Finance, 70, 600–621. https://doi.org/10.1016/j.iref.2020.08.002
  • Huynh, N., Dao, A., & Nguyen, D. (2021). Openness, economic uncertainty, government responses, and international financial market performance during the coronavirus pandemic. Journal of Behavioral and Experimental Finance, 31, 100536. https://doi.org/10.1016/j.jbef.2021.100536
  • Jiang, B., Gu, D., Sadiq, R., Mohsan Khan, T., & Chang, H. L. (2022). Does the stringency of government interventions for COVID19 reduce the negative impact on market growth? Evidence from Pacific and South Asia. Economic Research-Ekonomska Istrazivanja, 35(1), 2093–2111. https://doi.org/10.1080/1331677X.2021.1934058
  • Jiang, C., Zhang, Y., Razi, U., & Kamran, H. W. (2022). The asymmetric effect of COVID-19 outbreak, commodities prices and policy uncertainty on financial development in China: evidence from QARDL approach. Economic Research-Ekonomska Istraživanja, 35(1), 2003–2022. https://doi.org/10.1080/1331677X.2021.1930092
  • Kamal, M. R., Chowdhury, M. A. F., & Hosain, M. (2021). Stock market reactions of maritime shipping industry in the time of COVID-19 pandemic crisis: An empirical investigation. Maritime Policy & Management. Advance online publication. https://doi.org/10.1080/03088839.2021.1954255
  • Karim, M. M., Chowdhury, M. A. F., & Masih, M. (2021). Re-examining oil and BRICS’ stock markets: New evidence from wavelet and MGARCH-DCC. Macroeconomics and Finance in Emerging Market Economies, 15(2), 196–214. https://doi.org/10.1080/17520843.2020.1861047
  • Karnatak, U., & Malik, C. (2021). Wednesdays obtain herd immunity? Examining the effect of the day of the week on the NSE sectoral market during COVID-19. The Investment Analysts Journal, 50(4), 227–241. https://doi.org/10.1080/10293523.2021.2010374
  • Keenan, D. M. (1985). A Tukey nonadditivity-type test for time series nonlinearity. Biometrika, 72(1), 39–44. https://doi.org/10.1093/biomet/72.1.39
  • Khan, M. A., Ahmed, M., Popp, J., & Oláh, J. (2020). Us policy uncertainty and stock market nexus revisited through dynamic ARDL simulation and threshold modelling. Mathematics, 8(11), 2073. https://doi.org/10.3390/math8112073
  • Kheni, S., & Kumar, S. (2021). Cases, deaths, stringency indexes and Indian financial market — Empirical evidence during COVID-19 pandemic. Annals of Financial Economics, 16(2), 2150009. Advance online publication. https://doi.org/10.1142/S2010495221500093
  • Kizys, R., Tzouvanas, P., & Donadelli, M. (2021). From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions. International Review of Financial Analysis, 74, 101663. https://doi.org/10.1016/j.irfa.2021.101663
  • Koenker, R., & Xiao, Z. (2004). Unit root quantile autoregression inference. Journal of the American Statistical Association, 99(467), 775–787. https://doi.org/10.1198/016214504000001114
  • Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800. https://doi.org/10.3390/ijerph17082800
  • Maiz Jiménez, J. G., Santiago, A. R., & López-Herrera, F. (2021). Measuring the asymmetry level around quarterly reports in the Dow Jones, Nasdaq, and Standard & Poor’s: Before and during the COVID-19 pandemic. Investment Analysts Journal, 50(1), 50–59. https://doi.org/10.1080/10293523.2021.1876826
  • Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38, 101690. https://doi.org/10.1016/j.frl.2020.101690 PMID:32837377
  • Narayan, P. K., Devpura, N., & Wang, H. (2020). Japanese currency and stock market-What happened during the COVID-19 pandemic? Economic Analysis and Policy, 68, 191–198. https://doi.org/10.1016/j.eap.2020.09.014
  • Narayan, P. K., Phan, D. H. B., & Liu, G. (2021). COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. Finance Research Letters, 38, 101732. https://doi.org/10.1016/j.frl.2020.101732
  • Phan, D. H. B., & Narayan, P. K. (2020). Country responses and the reaction of the stock market to COVID-19 – A preliminary exposition. Emerging Markets Finance & Trade, 56(10), 2138–2150. https://doi.org/10.1080/1540496X.2020.1784719
  • Saeed Meo, M., Jameel, K., Chowdhury, M. A. F., & Ali, S. (2021). Islamic financial markets response to uncertainty: an application of quantile-on-quantile approach. Journal of Economic and Administrative Sciences. Advance online publication. https://doi.org/10.1108/JEAS-03-2021-0052
  • Scherf, M., Matschke, X., & Rieger, M. O. (2022). Stock market reactions to COVID-19 lockdown: A global analysis. Finance Research Letters, 45, 102245. https://doi.org/10.1016/j.frl.2021.102245
  • Song, Y., Zhao, P., Chang, H. L., Razi, U., & Dinca, M. S. (2022). Does the COVID-19 pandemic affect the tourism industry in China? Evidence from extreme quantiles approach. Economic Research-Ekonomska Istrazivanja, 35(1), 2333–2350. https://doi.org/10.1080/1331677X.2021.1941180
  • Troster, V. (2018). Testing for Granger-causality in quantiles. Econometric Reviews, 37(8), 850–866. https://doi.org/10.1080/07474938.2016.1172400
  • Tsay, R. S. (1986). Nonlinearity tests for time series. Biometrika, 73(2), 461–466. https://doi.org/10.1093/biomet/73.2.461
  • Wang, J., Umar, M., Afshan, S., & Haouas, I. (2022). Examining the nexus between oil price, COVID-19, uncertainty index, and stock price of electronic sports: fresh insights from the nonlinear approach. Economic Research-Ekonomska Istrazivanja, 35(1), 2217–2233. https://doi.org/10.1080/1331677X.2021.1937260
  • Wang, Q. (2015). Fixed-effect panel threshold model using Stata. The Stata Journal, 15(1), 121–134. https://doi.org/10.1177/1536867X1501500108
  • Wang, Y., Zhang, H., Gao, W., & Yang, C. (2021). COVID-19-related government interventions and travel and leisure stock. Journal of Hospitality and Tourism Management, 49, 189–194. https://doi.org/10.1016/j.jhtm.2021.09.010
  • WB. (2020). How does the World Bank classify countries? [Online.] World Bank Data Help Desk. https://datahelpdesk.worldbank.org/knowledgebase/articles/378834-how-does-the-world-bank-classify-countries
  • Xiao, Z. (2009). Quantile cointegrating regression. Journal of Econometrics, 150(2), 248–260. https://doi.org/10.1016/j.jeconom.2008.12.005
  • Zaremba, A., Aharon, D. Y., Demir, E., Kizys, R., & Zawadka, D. (2021). COVID-19, government policy responses, and stock market liquidity around the world: A note. Research in International Business and Finance, 56, 101359. https://doi.org/10.1016/j.ribaf.2020.101359
  • Zaremba, A., Kizys, R., Aharon, D. Y., & Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe. Finance Research Letters, 35, 101597. https://doi.org/10.1016/j.frl.2020.101597
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. https://doi.org/10.1016/j.frl.2020.101528

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.