Stock Market Efficiency in the Time of COVID-19: Evidence from Industry Stock Returns | Zendy

Vaibhav Lalwani | Zendy; Vedprakash Meshram | Zendy

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Stock Market Efficiency in the Time of COVID-19: Evidence from Industry Stock Returns

Author(s) -

Vaibhav Lalwani,

Vedprakash 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.

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