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

Monika Bolek; Agata Gniadkowska‑Szymańska; Katerina Lyroudi

doi:10.18778/1508-2008.26.16

Autor

Monika Bolek Ph.D., Associate Professor, University of Lodz, Faculty of Economics and Sociology, Department of Corporate Finance, Lodz, Poland https://orcid.org/0000-0001-9376-1105
Agata Gniadkowska‑Szymańska Ph.D., Assistant Professor, University of Lodz, Faculty of Economics and Sociology, Department of Capital Market and Investments, Lodz, Poland https://orcid.org/0000-0002-7321-3360
Katerina Lyroudi Ph.D., Assistant Professor, Hellenic Open University, Patra, Greece

DOI:

https://doi.org/10.18778/1508-2008.26.16

Słowa kluczowe:

COVID–19, anomalie dni tygodnia, efektywność rynku

Abstrakt

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.

Pobrania

Brak dostępnych danych do wyświetlenia.

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