Open AccessStock Market Efficiency in the Time of COVID-19: Evidence from Industry Stock Returns
Author(s) -
Vaibhav Lalwani,
Vedprakash Vasantrao Meshram
Publication year - 2020
Publication title -
international journal of accounting and finance review
Language(s) - English
Resource type - Journals
eISSN - 2576-1293
pISSN - 2576-1285
DOI - 10.46281/ijafr.v5i2.744
Subject(s) - predictability , stock (firearms) , covid-19 , economics , stock market , financial economics , efficient market hypothesis , cost price , stock market bubble , econometrics , monetary economics , business , statistics , engineering , mathematics , mechanical engineering , medicine , paleontology , disease , horse , virology , outbreak , infectious disease (medical specialty) , biology , pathology
Using industry portfolios as test assets and a battery of statistical tests, we study if the informational efficiency of stock prices has declined after the COVID-19 crisis began. The results suggest that the predictability of stock returns in some industries has increased during the COVID-19 period. Markets appear to have become less informationally efficient during the COVID-19 crisis.
JEL Classification Code: C58, G01, G10, G14.