Impact of COVID-19 on Stock Market Efficiency: Evidence from Developed Countries
Yazarlar (1)
Prof. Dr. Oktay ÖZKAN Tokat Gaziosmanpaşa Üniversitesi, Türkiye
| Makale Türü | Özgün Makale (SSCI, AHCI, SCI, SCI-Exp dergilerinde yayınlanan tam makale) | ||
| Dergi Adı | Research in International Business and Finance (Q1) | ||
| Dergi ISSN | 0275-5319 Dergi Bilgileri (2021) | ||
| Dergi Tarandığı Indeksler | SSCI | ||
| Makale Dili | İngilizce | Basım Tarihi | 12-2021 |
| Kabul Tarihi | – | Yayınlanma Tarihi | 01-12-2021 |
| Cilt / Sayı / Sayfa | 58 / 1 / 101445–0 | DOI | 10.1016/j.ribaf.2021.101445 |
| Makale Linki | http://dx.doi.org/10.1016/j.ribaf.2021.101445 | ||
| UAK Araştırma Alanları |
Finansal Piyasalar ve Kurumlar
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| Özet |
| This study investigates the impact of the novel coronavirus (COVID-19) pandemic on stock market efficiency for six hard-hit developed countries, namely, the United States (US), Spain, the United Kingdom (UK), Italy, France, and Germany. Applying the wild bootstrap automatic variance ratio test on daily stock market data from July 29, 2019 to January 25, 2021, it is found that all stock markets used in this study deviate from market efficiency during some periods of the pandemic. Deviations from market efficiency are seen more in the stock markets of the US and UK during the COVID-19 outbreak than in other stock markets. These results are strengthened when a different econometric method, the automatic portmanteau test, is used. The findings of this study indicate an increasing chance for stock price predictions and abnormal returns during the COVID-19 pandemic. |
| Anahtar Kelimeler |
| COVID-19 | Pandemic | Stock market efficiency | Wild bootstrap automatic variance ratio (WBAVR) test |
Science Direct
Impact of COVID-19 on Stock Market Efficiency: Evidence from Developed Countries
BM Sürdürülebilir Kalkınma Amaçları
| Atıf Sayıları | |
| Yöksis | 51 |
| Web of Science | 101 |
| Scopus | 126 |
| Google Scholar | 211 |