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

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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.

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  • How did Australian financial markets react to the COVID-19 vaccine rollout? Fresh evidence from quantile copula spectrum analysis. (deposited 20 Dec 2021 14:16) [Currently Displayed]
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