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

Partha Gangopadhyay, Rudra P. Pradhan and Narasingha Das

International Economics, 2024, vol. 179, issue C

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.

Keywords: COVID-19 pandemic; MTNARDL model; Asymmetric effects; Australian stock market (search for similar items in EconPapers)
JEL-codes: C32 G0 G18 H12 I18 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000568

DOI: 10.1016/j.inteco.2024.100533

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