The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis

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