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Testing Market Efficiency During Covid-19 Pandemic: A Study of Select Global Indices
IUP Journal of Accounting Research & Audit Practices ; 21(4):108-122, 2022.
Article in English | ProQuest Central | ID: covidwho-2169872
ABSTRACT
The Covid-19 crisis provided an opportunity to generate excess returns as stocks were trading below their fair value. The first infection case was reported in November 2019, and a sharp fall in global markets was witnessed soon thereafter. Though markets gradually recovered from their respective lows, its impact was felt across major parts of the globe till early 2021. The paper analyzes the efficiency of 44 world major stock exchanges (Asia-Pacific-17, Europe-16, America-6 and Africa-5) for 15 months (November 2019 to January 2021), and tests whether markets move randomly or whether they are adaptive in nature, i.e., whether Efficient Market Hypothesis (EMH) or Adaptive Market Hypothesis (AMH) holds good in such conditions. The results of Hurst exponent and Variance Test (VT) ratio prove that markets are adaptive.
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Collection: Databases of international organizations Database: ProQuest Central Language: English Journal: IUP Journal of Accounting Research & Audit Practices Year: 2022 Document Type: Article

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Collection: Databases of international organizations Database: ProQuest Central Language: English Journal: IUP Journal of Accounting Research & Audit Practices Year: 2022 Document Type: Article