Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets

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

Abstracts

EN

This paper aims to discuss market efficiency due to the changes that appeared in this field after the COVID-19 outburst. The OMX exchange and its indices are taken into consideration because they represent markets not analysed in such a context before (a) Baltic: Estonia, Latvia and Lithuania; (b) Scandinavian: Denmark, Finland, Iceland, Norway and Sweden). Two periods before and during the COVID-19 pandemic are considered (January 2009 to January 2020 and February 2020 to February 2021), and the efficient market hypothesis is tested together with the day-of-a-week effect anomaly to recognize the differences in market efficiency that could appear under special conditions, such as a pandemic. The results indicated that the impact of this pandemic on market efficiency was positive in most of the OMX markets studied. The added value of the article is related to supplementing the theory of market efficiency and showing that in difficult times investors make more rational decisions.

Keywords

EN

COVID-19; market efficiency; day-of-a-week anomaly

• Publisher: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
• Journal: Central European Economic Journal
• Year: 2022
• Volume: 9
• Issue: 56
• Pages: 158-177

Dates

published

2022

Contributors

author

Monika Bolek

• University of Lodz, Faculty of Economics and Sociology, Poland

• https://orcid.org/0000000193761105

author

Agata Gniadkowska - Szymańska

• University of Lodz, Faculty of Economics and Sociology, Poland

• https://orcid.org/0000000273213360

author

Katerina Lyroudi

• Hellenic Open University, Greece

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Identifiers

DOI

10.2478/ceej-2022-0010

Biblioteka Nauki

2167578