How did financial markets react to the COVID-19 vaccine rollout? Fresh evidence from Australia

Matsuki, Takashi and Pan, Lei (2025): How did financial markets react to the COVID-19 vaccine rollout? Fresh evidence from Australia.

Abstract

We provide the first study on how COVID-19 vaccine rollout affects Australian financial markets. To examine the heterogeneous and asymmetric effects of vaccination rate on financial markets, we adopt the quantile-on-quantile regression (QQR). We also use the novel quantile copula coherency developed by Barun´ık and Kley (2019) to detect longer (e.g. monthly or yearly) reactions of financial markets or distinguish the mixed market reactions to short- and long-persistent impacts from vaccine rollout. We find that relative short-term impacts of lagged vaccination rates on quantiles of the returns of the ASX200 stock price and foreign exchange (FX) are stable against fluctuations of the Dow Jones stock price index or FX return at various quantiles. Therefore, the vaccination policy implemented in Australia homogeneously affects financial markets at quantiles. Moreover, our study properly detects short- and long-lived significant reactions of the stock price index and FX returns to the vaccine rate variation.

• Item Type: MPRA Paper
• Language: English
• Keywords: Financial markets; COVID-19 vaccine; Quantile-on-quantile regression; 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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