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


  • Matsuki, Takashi
  • Pan, Lei


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.

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  • 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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    References listed on IDEAS

    1. Elgin, Ceyhun & Yalaman, Abdullah & Yasar, Sezer & Basbug, Gokce, 2021. "Economic policy responses to the COVID-19 pandemic: The role of central bank independence," Economics Letters, Elsevier, vol. 204(C).
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    More about this item


    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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