2019冠状病毒病大流行和Omx市场的每周异常现象

IF 0.5 Q4 ECONOMICS

Central European Journal of Economic Modelling and Econometrics Pub Date : 2022-01-01 DOI:10.2478/ceej-2022-0010

Monika Bolek, Agata Gniadkowska-Szymańska, Katerina Lyroudi

{"title":"2019冠状病毒病大流行和Omx市场的每周异常现象","authors":"Monika Bolek, Agata Gniadkowska-Szymańska, Katerina Lyroudi","doi":"10.2478/ceej-2022-0010","DOIUrl":null,"url":null,"abstract":"Abstract This paper aims to discuss market efficiency due to the changes that appeared in this field after the COVID-19 outburst. The OMX exchange and its indices are taken into consideration because they represent markets not analysed in such a context before (a) Baltic: Estonia, Latvia and Lithuania; (b) Scandinavian: Denmark, Finland, Iceland, Norway and Sweden). Two periods before and during the COVID-19 pandemic are considered (January 2009 to January 2020 and February 2020 to February 2021), and the efficient market hypothesis is tested together with the day-of-a-week effect anomaly to recognize the differences in market efficiency that could appear under special conditions, such as a pandemic. The results indicated that the impact of this pandemic on market efficiency was positive in most of the OMX markets studied. The added value of the article is related to supplementing the theory of market efficiency and showing that in difficult times investors make more rational decisions.","PeriodicalId":9951,"journal":{"name":"Central European Journal of Economic Modelling and Econometrics","volume":"121 6 1","pages":"158 - 177"},"PeriodicalIF":0.5000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets\",\"authors\":\"Monika Bolek, Agata Gniadkowska-Szymańska, Katerina Lyroudi\",\"doi\":\"10.2478/ceej-2022-0010\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract This paper aims to discuss market efficiency due to the changes that appeared in this field after the COVID-19 outburst. The OMX exchange and its indices are taken into consideration because they represent markets not analysed in such a context before (a) Baltic: Estonia, Latvia and Lithuania; (b) Scandinavian: Denmark, Finland, Iceland, Norway and Sweden). Two periods before and during the COVID-19 pandemic are considered (January 2009 to January 2020 and February 2020 to February 2021), and the efficient market hypothesis is tested together with the day-of-a-week effect anomaly to recognize the differences in market efficiency that could appear under special conditions, such as a pandemic. The results indicated that the impact of this pandemic on market efficiency was positive in most of the OMX markets studied. The added value of the article is related to supplementing the theory of market efficiency and showing that in difficult times investors make more rational decisions.\",\"PeriodicalId\":9951,\"journal\":{\"name\":\"Central European Journal of Economic Modelling and Econometrics\",\"volume\":\"121 6 1\",\"pages\":\"158 - 177\"},\"PeriodicalIF\":0.5000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Central European Journal of Economic Modelling and Econometrics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2478/ceej-2022-0010\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Central European Journal of Economic Modelling and Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2478/ceej-2022-0010","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

摘要

摘要本文旨在探讨新冠肺炎疫情爆发后市场效率的变化。考虑到OMX交易所及其指数，因为它们代表了之前没有在这种背景下分析的市场(a)波罗的海:爱沙尼亚、拉脱维亚和立陶宛;(b)斯堪的纳维亚:丹麦、芬兰、冰岛、挪威和瑞典)。本文考虑了2019冠状病毒病大流行之前和期间的两个时期(2009年1月至2020年1月和2020年2月至2021年2月)，并对有效市场假说以及每周一天的效应异常进行了检验，以识别在特殊情况下(如大流行)可能出现的市场效率差异。结果表明，在所研究的大多数OMX市场中，这次大流行对市场效率的影响是积极的。本文的附加价值在于补充了市场效率理论，表明投资者在困难时期会做出更理性的决策。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets

Abstract This paper aims to discuss market efficiency due to the changes that appeared in this field after the COVID-19 outburst. The OMX exchange and its indices are taken into consideration because they represent markets not analysed in such a context before (a) Baltic: Estonia, Latvia and Lithuania; (b) Scandinavian: Denmark, Finland, Iceland, Norway and Sweden). Two periods before and during the COVID-19 pandemic are considered (January 2009 to January 2020 and February 2020 to February 2021), and the efficient market hypothesis is tested together with the day-of-a-week effect anomaly to recognize the differences in market efficiency that could appear under special conditions, such as a pandemic. The results indicated that the impact of this pandemic on market efficiency was positive in most of the OMX markets studied. The added value of the article is related to supplementing the theory of market efficiency and showing that in difficult times investors make more rational decisions.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Central European Journal of Economic Modelling and Econometrics ECONOMICS-

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： The Central European Journal of Economic Modelling and Econometrics (CEJEME) is a quarterly international journal. It aims to publish articles focusing on mathematical or statistical models in economic sciences. Papers covering the application of existing econometric techniques to a wide variety of problems in economics, in particular in macroeconomics and finance are welcome. Advanced empirical studies devoted to modelling and forecasting of Central and Eastern European economies are of particular interest. Any rigorous methods of statistical inference can be used and articles representing Bayesian econometrics are decidedly within the range of the Journal''s interests.