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How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis

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  • Matsuki, Takashi
  • Pan, Lei

Abstract

We provide the first study of how large and persistent the Australian financial markets reacted to the COVID-19 vaccine rollout. Using the novel quantile copula coherency developed by Baruník and Kley (2019), our study properly detects short- and long-lived significant reactions of the stock price index and foreign exchange returns to the vaccine rate variation.

Suggested Citation

  • Matsuki, Takashi & Pan, Lei, 2021. "How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis," MPRA Paper 111136, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:111136
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    File URL: https://mpra.ub.uni-muenchen.de/111136/7/MPRA_paper_111136.pdf
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    References listed on IDEAS

    as
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    5. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
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    More about this item

    Keywords

    Australia; Financial markets; COVID-19 vaccine; Quantile copula spectrum; Quantile coherency;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • H51 - Public Economics - - National Government Expenditures and Related Policies - - - Government Expenditures and Health
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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