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

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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Year of publication:	2021-12
Authors:	Matsuki, Takashi ; Pan, Lei

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Type of publication:	Book / Working Paper
Language:	English
Notes:	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.
Classification:	G1 - General Financial Markets ; H51 - Government Expenditures and Health ; I18 - Government Policy; Regulation; Public Health
Source:	BASE

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