期刊
INVESTMENT ANALYSTS JOURNAL
卷 51, 期 4, 页码 268-288出版社
INVESTMENT ANALYSTS SOC SOUTHERN AFRICA
DOI: 10.1080/10293523.2022.2112665
关键词
COVID-19; stock market; threshold analysis; Quantile ARDL; stringency index
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.
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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