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

Matsuki, Takashi and Pan, Lei (2021): How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Australia; Financial markets; COVID-19 vaccine; Quantile copula spectrum; Quantile coherency
• Subjects: G - Financial Economics > G1 - General Financial Markets; H - Public Economics > H5 - National Government Expenditures and Related Policies > H51 - Government Expenditures and Health; I - Health, Education, and Welfare > I1 - Health > I18 - Government Policy ; Regulation ; Public Health

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