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

COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?

“…We use the Oxford COVID-19 Government Response Tracker (OxCGRT) data to consider different COVID-19 government interventions ( Hale et al, 2021 ). Several previous studies of other financial markets used the Stringency index to measure COVID-19 government interventions (e.g., Abdullah et al, 2022 ; Bakry et al, 2021; Zaremba et al, 2021 ). In this study, for measuring the COVID-19 government response, the daily worldwide (225 countries) average value of the stringency index is taken as the primary independent variable.…”

“…In the case of the cryptocurrency market, due to a massive sale of cryptocurrencies, the market collapsed on March 8, 2020 and resulted in a loss of $21 billion in a single day (Z. Umar et al, 2021). Unlike earlier studies, which focus on the influence of COVID-19 uncertainty and government interventions on stock markets (e.g., Abdullah et al, 2022 , Aharon and Siev, 2021 , Chowdhury et al, 2021 ; B. Jiang et al, 2021 , Kheni and Kumar, 2021 ), this study focuses on the unexplored effect of government interventions on the cryptocurrency market.…”

COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective

“…Using different methods and different empirical sample, different findings are generated on the relationship between COVID-19 restriction policy. Some scholars argue that stock returns are negatively affected by government restrictions ( Abdullah et al,2022 ; Aharon & Siev,2021 ; Kheni & Kumar,2021 ; Caporale et al,2022 ), but some other scholars argue that stock markets react positively to government lockdown policies ( Martins & Cró, 2022 ; Bouri et al,2022 ; Wang et al,2021 ; Narayan et al, 2021 ; Xie & Zhou (2022) . However, Abdullah et al (2022) find that the long-term and short-term negative effect is asymmetric, Anh & Gan (2020) find than Vietnam's stock returns react negatively COVID-19 pre-lock down while positively during the lockdown period.…”

“…Some scholars argue that stock returns are negatively affected by government restrictions ( Abdullah et al,2022 ; Aharon & Siev,2021 ; Kheni & Kumar,2021 ; Caporale et al,2022 ), but some other scholars argue that stock markets react positively to government lockdown policies ( Martins & Cró, 2022 ; Bouri et al,2022 ; Wang et al,2021 ; Narayan et al, 2021 ; Xie & Zhou (2022) . However, Abdullah et al (2022) find that the long-term and short-term negative effect is asymmetric, Anh & Gan (2020) find than Vietnam's stock returns react negatively COVID-19 pre-lock down while positively during the lockdown period. Narayan et al (2021) find that lockdowns have a positive effect on the G7 stock markets, while Caporale et al (2022) find that the stock markets of G7 countries are affected negatively by government restrictions.…”

“…Second, different from the mentioned previous studies above, our study provide evidence from a global perspective by using a larger sample. Third, different from Abdullah et al (2022) , Mishra et al (2022) and Scherf et al (2022) which also use the COVID-19 stringency index proposed by the University of Oxford to evaluate government restriction policy, we depart its total volatility into good and bad ones to investigate its impact on stock markets.…”