The Australian stock market's reaction to the first wave of the COVID-19 pandemic and black summer bushfires: A sectoral analysis

Artikel

In this study, we investigated the impact of the first wave of the COVID-19 pandemic on various sectors of the Australian stock market. Market capitalization and equally weighted indices were formed for eleven Australian sectors to examine the influence of the pandemic on them. First, we examined the financial contagion between the Chinese stock market and Australian sector indices through the dynamic conditional correlation fractionally integrated generalized autoregressive conditional heteroskedasticity (DCC-FIGARCH) model. We found high time-varying correlations between the Chinese stock market and most of the Australian sector indices, with the financial, health care, information technology, and utility sectors displaying a decrease in co-movements during the pandemic. The Modified Iterative Cumulative Sum of Squares (MICSS) analysis results indicated the presence of structural breaks in the volatilities of most of the sector indices around the end of February 2020, but consumer staples, industry, information technology and real estate indices did not display any break. Markov regime-switching regression analysis depicted that the pandemic has mainly affected three sectors: consumer staples, industry, and real estate. When we considered the firm size, we found that smaller companies in the energy sector exhibited gradual deterioration, whereas small firms in the consumer staples sector experienced the largest positive impact from the pandemic.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models ; Financial Econometrics ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading ; Industry Studies: Services: General
• Subject: COVID-19 ; Australia ; Black Summer Bushfire ; DCC-FIGARCH ; Markov regime-switching regression

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gunay, Samet ; Bakry, Walid ; Al-Mohamad, Somar
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14040175
• Handle: http://hdl.handle.net/10419/239591
• Last update: 10.03.2025, 11:43 AM CET