Abstract
This paper analyzes market efficiency (EMH) with the day‑of‑the‑week effect and the changes that might appear after the outbreak of the COVID–19 pandemic, based on the example of the OMX Exchange and its indices. Before the pandemic, only the OMX Baltic All‑share index was efficient; during the COVID–19 pandemic, the OMXCPI Index, which represents the Copenhagen stock market, was not affected by the day‑of‑the‑week anomaly. The change in market efficiency was observed in relation to the periods before and during the pandemic, and additionally between specific days of the week. The value added of this paper is related to the evidence that COVID–19 influenced market efficiency but not the quality of trading.
Publisher
Uniwersytet Lodzki (University of Lodz)
Reference48 articles.
1. Ajayi, R., Mehdian, S., Perry, M. (2004), The Day-of-the-Week Effect in Stock Returns: Further Evidence from Eastern European Emerging Markets, “Emerging Markets Finance & Trade”, 40 (4), pp. 53–62, http://www.jstor.org/stable/27750400 (accessed: 13.03.2021).
2. Al-Awadhi, A.M., Alsaifi, K., Al-Awadhi, A., Alhammadi, S. (2020), Death and contagious infectious diseases: Impact of the COVID–19 virus on stock market returns, “Journal of Behavioral and Experimental Finance”, 27, 100326, https://doi.org/10.1016/j.jbef.2020.100326
3. Ali, M., Alam, N., Rizvi, S.A.R. (2020), Coronavirus (COVID–19) – An Epidemic or pandemic for financial markets, “Journal of Behavioral and Experimental Finance”, 27, 100341, https://doi.org/10.1016/j.jbef.2020.100341
4. Apergis, N., Apergis, M. (2020), The role of COVID–19 for Chines stock returns: evidence from a GARCHX model, “Asia-Pacific Journal of Accounting and Economics”, pp. 1–9, https://doi.org/10.1080/16081625.2020.1816185
5. Apolinario, R.M.C., Santana, O.M., Sales, L.J., Caro, A.R. (2006), Day of the week effect on European stock markets, “International research journal of Finance and Economics”, 2 (1), pp. 53–70.