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

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.

Automated summary

In this study, we examine the asymmetric effect of COVID-19 government interventions on global stock markets using a sample of 61 countries from January 2020 to December 2021. We apply Quantile ARDL (QARDL) and panel threshold regressions to analyze the data. The QARDL results show a heterogenous effect of government interventions on stock markets, which varies based on country income level and stock market size. Additionally, the panel threshold regression reveals a positive effect before the threshold level of government interventions and a negative effect after. These findings can provide valuable insights for policymakers in formulating intervention plans to mitigate financial turbulence.