The Day-of-the-Week Anomaly in Light of the COVID-19 Pandemic on an Example of Selected OMX Indices

• Autorzy: Monika Bolek , Agata Gniadkowska-Szymańska , Katerina Lyroudi

Warianty tytułu

Anomalia dni tygodnia w świetle pandemii COVID-19 na przykładzie wybranych indeksów OMX

• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Niniejszy artykuł miał na celu zbadanie efektywności rynku oraz zmian, jakie mogły pojawić się w tym obszarze po wybuchu pandemii COVID-19. Giełda OMX i jej indeksy zostały wzięte pod uwagę ze względu na to, że reprezentują różne rynki zintegrowane na tej samej platformie giełdowej, a poza tym badaniu ich efektowności podczas pandemii nie poświęcono uwagi. Analizowane były dwa okresy: przed wybuchem pandemii COVID-19 i po jej wybuchu, a hipoteza efektywnego rynku (EMH) była testowana poprzez wykorzystanie anomalii efektu dnia tygodnia. Wyniki pokazują, że przed wybuchem pandemii tylko Indeks Krajów Bałtyckich był efektywny, ale stracił tę cechę podczas pandemii, podczas gdy rynek duński ją zyskał. Zaobserwowano zatem efektywność niektórych rynków oraz zmiany wywołane przez COVID-19. (abstrakt oryginalny)

Słowa kluczowe

EN

COVID-19; Market effectiveness; Pandemic

PL

COVID-19; Efektywność rynku; Pandemia

• Czasopismo: Comparative Economic Research
• Rocznik: 2023
• Tom: 26
• Numer: nr 2
• Strony: 129--148

Twórcy

autor

Monika Bolek

• University of Lodz, Poland

autor

Agata Gniadkowska-Szymańska

• University of Lodz, Poland

autor

Katerina Lyroudi

• Hellenic Open University

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Identyfikatory

DOI

10.18778/1508-2008.26.16