COVID‐19 Infections and the Performance of the Stock Market: An Empirical Analysis for Australia*

Using daily data, we estimate a vector autoregression model to characterise the dynamic relationship between COVID-19 infections in Australia and performance of Australian stock market, specifically ASX-200. Impulse response functions show that have significant positive effect on market: one standard deviation increase new registered cases increases growth rate ASX-200 by around half percentage point. This result is robust alternative lag selections VAR as suggested information criteria, including control variables for market volatility, VIX; USD-AUD exchange international oil price; news World Health Organization regarding pandemic public health emergency; government-imposed shutdown parts economy. We also present estimates Dow Jones United States. The US data show, similar there market.