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

Takashi Matsuki and Lei Pan

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Australia; Financial markets; COVID-19 vaccine; Quantile copula spectrum; Quantile coherency (search for similar items in EconPapers)
JEL-codes: G1 H51 I18 (search for similar items in EconPapers)
Date: 2021-12
New Economics Papers: this item is included in nep-fmk and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/111136/1/MPRA_paper_111127.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/111136/7/MPRA_paper_111136.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/124166/368/MPRA_paper_124166.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:111136

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().