Multiple Behavioral Conditions of the Forward Exchange Rates and Stock Market Return in the South Asian Stock Markets During COVID-19: A Novel MT-QARDL Approach

This study examines the short- and long-term effects of multiple quantiles of forward exchange rate premiums (FERPs) and COVID-19 cases on the quantiles of stock market returns (SMRs). We extend the Quantile Autoregressive Distributive Lag (QARDL) model, and the Multiple Threshold Non-linear Autoreg...

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Principais autores:	Mosab I. Tabash, Adel Ahmed, Suzan Sameer Issa, Marwan Mansour, Manishkumar Varma, Mujeeb Saif Mohsen Al-Absy
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2024-11-01
coleção:	Computation
Assuntos:	multiple threshold quantile autoregressive distributive lag model (MT-QARDL) BDS test of non-linearity forward exchange rate premium (FERP) stock market returns (SMRs) COVID-19 cases South Asia
Acesso em linha:	https://www.mdpi.com/2079-3197/12/12/233
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