Is there a pattern in how COVID-19 has affected Australia's stock returns?

Coronavirus pandemic (COVID-19) has had a dramatic effect on global stock markets. In this article, we mount an investigation on how COVID-19 has impacted the Australian stock market returns. Using a quantile regression framework, the pattern of the effect we unravel is that COVID-19 has had a heterogeneous effect on sectors of the market, with health, information technology and consumer staples gaining.

Automated summary

The investigation reveals that the COVID-19 pandemic has had a heterogeneous effect on the Australian stock market, with sectors such as health, information technology, and consumer staples benefiting.