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

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. •We examine potential effects of the COVID-19 intensity on the Australian stock prices across various thresholds.•We find that the pandemic intensity has short-run effects only for its tails.•For longer terms, adverse effects are noted for all thresholds.•Daily economic activity index, though has counterintuitive short-run effects, did not have any longer-term effects.