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Asymmetric shocks of the COVID-19 pandemic on the Australian stock market: Evidence from multiple threshold nonlinear ARDL (MTNARDL) approach

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  • Gangopadhyay, Partha
  • Pradhan, Rudra P.
  • Das, Narasingha

Abstract

This study investigates the asymmetric effects of the COVID-19 pandemic on the Australian stock market using a novel methodology (multiple threshold nonlinear ARDL). We find that, in the short-term, the pandemic's impact is statistically insignificant for moderate levels of pandemic intensity (30–70% range). However, for both more severe outbreaks (above 70%) and less intense initial stages (below 30%), the pandemic shows short-term negative effects. Interestingly, these adverse effects become consistent across all intensity levels in the long-term. Additionally, our analysis reveals counterintuitive relationships between daily economic activity and stock market performance at different pandemic intensity thresholds.

Suggested Citation

  • Gangopadhyay, Partha & Pradhan, Rudra P. & Das, Narasingha, 2024. "Asymmetric shocks of the COVID-19 pandemic on the Australian stock market: Evidence from multiple threshold nonlinear ARDL (MTNARDL) approach," International Economics, Elsevier, vol. 179(C).
    • Handle: RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000568
    DOI: 10.1016/j.inteco.2024.100533
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    More about this item

    Keywords

    COVID-19 pandemic; MTNARDL model; Asymmetric effects; Australian stock market;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G0 - Financial Economics - - General
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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