Do stock market quantiles intervene in the transmission of positive and negative shocks in the commodity futures and forex market returns?

This is first study to examine the asymmetric effects of positive and negative innovations in commodity futures (oil and gold) and foreign exchange market returns across the quantiles of stock returns of all of the 22 developed economies, while accounting for different investment horizons (short- and long-term). Methodologically, we used an integrated framework by combining the Nonlinear Autoregressive Distributed Lag (NARDL) model with quantile regression and thereby utilized the Quantile-based NARDL (QNARDL) approach. Further, for the COVID-19 subsample, we augmented the QNARDL model by incorporating control variables such as pandemic-related news sentiment and disaggregated positive and negative returns from the U.S. non-financial sector. Overall, the empirical results indicated that equity market sensitivities to macroeconomic and non-macroeconomic disturbances are conditional upon four critical dimensions: (1) prevailing stock market regimes (bullish, bearish, or neutral); (2) investment horizon (short- vs. long-term); (3) asymmetric transmission mechanisms of negative and positive shocks that originate from forex markets and commodity futures, and (4) temporal segmentation (pre-, during-, and post-COVID-19 periods).