Market Efficiency During the COVID-19 Pandemic. Some Insights Using Non-Parametric Tests

References

• Ajayi, R. A., S. Mehdian, and M. T. Perry. 2004. “The Day-Of-The-Week Effect in Stock Returns: Further Evidence from Eastern European Emerging Markets.” Emerging Markets Finance & Trade 40 (4): 53–62. https://doi.org/10.1080/1540496X.2004.11052582.
   Web of Science ®Google Scholar
• Albulescu, C. T., A. K. Tiwari, and P. Kyophilavong. 2021. “Nonlinearities and Chaos: A New Analysis of CEE Stock Markets.” Mathematics 9:707–20. https://doi.org/10.3390/math9070707.
   Web of Science ®Google Scholar
• Anagnostidis, P., C. Varsakelis, and C. J. Emmanouilides. 2016. “Has the 2008 Financial Crisis Affected Stock Market Efficiency? The Case of Eurozone.” Physica A: Statistical Mechanics & Its Applications 447:116–28. https://doi.org/10.1016/j.physa.2015.12.017.
   Web of Science ®Google Scholar
• Andrieș, A. M., I. Ihnatov, and N. Sprincean . 2017. “Do Seasonal Anomalies Still Exist in Central and Eastern European Countries?” Romanian Journal of Economic Forecasting 20 (4): 60–83.
   Web of Science ®Google Scholar
• Anghel, D. G. 2014. “Market Efficiency and Technical Analysis in the Central and Eastern European Region”. In 7th EuroMed Conference of the EuroMed Academy of Business (pp. 136–50). Kristiansand.
   Google Scholar
• Anghel, D. G. 2015. “Stock market efficiency and the RSI. Evidence from CEE emerging stock markets.” Procedia Economics and Finance 32:1414–31. https://doi.org/10.1016/S2212-5671(15)01518-X.
   Google Scholar
• Apolinario, R. M. C., O. M. Santana, L. J. Sales, and A. R. Caro. 2006. “Day of the Week Effect on European Stock Markets.” International Research Journal of Finance & Economics 2:53–70.
   Google Scholar
• Ashraf, B. N. 2020. “Stock markets’ Reaction to COVID-19: Cases or Fatalities?” Research in International Business and Finance 54:101249. https://doi.org/10.1016/j.ribaf.2020.101249.
   PubMed Web of Science ®Google Scholar
• Aslam, F., Y. T. Mohmand, P. Ferreira, A. Memon, M. Khan, and M. Khan. 2020. “Network Analysis of Global Stock Markets at the Beginning of the Coronavirus Disease (Covid-19) Outbreak.” Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2020.09.003.
   Web of Science ®Google Scholar
• Baker, S., N. Bloom, S. Davis, K. Kost, M. Sammon, and T. Viratyosin. 2020. “The Unprecedented Stock Market Impact of COVID-19.” National Bureau of Economic Research. https://doi.org/10.3386/w26945.
   Google Scholar
• Bartels, R. 1982. “The Rank Version of von Neumann’s Ratio Test for Randomness.” Journal of the American Statistical Association 77 (377): 40–46. https://doi.org/10.1080/01621459.1982.10477764.
   Web of Science ®Google Scholar
• Birău, F. R. 2015. “Emerging Capital Market Efficiency: A Comparative Analysis of Weak-Form Efficiency in Romania and Hungary in the Context of the Global Financial Crisis.” Al & Soc 30 (2): 223–33. https://doi.org/10.1007/s00146-013-0505-8.
   Google Scholar
• Boya, C. 2019. “From efficient markets to adaptive markets: Evidence from the French stock exchange.” Research in International Business and Finance 49:156–65. https://doi.org/10.1016/j.ribaf.2019.03.005.
   Web of Science ®Google Scholar
• Caraiani, P. 2012. “Nonlinear Dynamics in CEE Stock Markets Indices.” Economics Letters 114 (3) :329–31. https://doi.org/10.1016/j.econlet.2011.11.010.
   Web of Science ®Google Scholar
• Codîrlașu, A. 2000. “Testarea eficienței informaționale a pieței românești de capital”. PhD Thesis., Bucharest University of Economic Studies.
   Google Scholar
• Dias, R., N. Teixeira, V. Machova, P. Pardal, J. Horak, and M. Vochozka. 2020. “Random Walks and Market Efficiency Tests: Evidence on US, Chinese and European Capital Markets within the Context of the Global COVID-19 Pandemic.” Oeconomia Copernicana 11 (4): 585–608. https://doi.org/10.24136/oc.2020.024.
   Web of Science ®Google Scholar
• Dima, B., and L. R. Miloș. 2009. “Testing the Efficiency Market Hypothesis for the Romanian Stock Market.” Annales Universitatis Apulensis Series Oeconomica 11 (1): 402–15.
   Google Scholar
• Dodd, O., and A. Gakhovich. 2011. “The Holiday Effect in Central and Eastern European Financial Markets.” Investment Management & Financial Innovations 8 (4): 29–35.
   Google Scholar
• Donthu, N., and A. Gustafsson. 2020. “Effects of COVID-19 on Business and Research.” Journal of Business Research 117:284–89. https://doi.org/10.1016/j.jbusres.2020.06.008.
   PubMed Web of Science ®Google Scholar
• Dragotă, V., and E. Mitrică. 2004. “Emergent Capital markets’ Efficiency: The Case of Romania.” European Journal of Operational Research 155 (2): 353–60. https://doi.org/10.1016/S0377-2217(03)00093-6
   Web of Science ®Google Scholar
• Dragotă, V., and D. Ș. Oprea. 2014. “Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature.” Review of Finance and Banking 6 (1): 15–28.
   Google Scholar
• Dragotă, V., D. Ș. Oprea, and L. Obreja Brașoveanu. 2019. “Market Efficiency, Predictions and Returns.” Economic Computation and Economic Cybernetics Studies and Research 53 (3): 59–76. https://doi.org/10.24818/18423264/53.3.19.04.
   Web of Science ®Google Scholar
• Dragotă, V., A. Stoian, D. T. Pele, E. Mitrică, and M. Bensafta. 2009. “The Development of the Romanian Capital Market: Evidences on Information Efficiency.” Romanian Journal of Economic Forecasting 10 (2): 147–60.
   Web of Science ®Google Scholar
• Dragotă, V., and E. V. Țilică. 2014. “Market Efficiency of the Post Communist East European Stock Markets.” Central European Journal of Operations Research 22 (2): 307–37. https://doi.org/10.1007/s10100-013-0315-6.
   Web of Science ®Google Scholar
• Fama, E. F. 1965. “The Behavior of Stock-Market Prices.” The Journal of Business 38 (1): 34–105. https://doi.org/10.1086/294743.
   Web of Science ®Google Scholar
• Fama, E. F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance 25 (2): 383–417. https://doi.org/10.2307/2325486.
   Web of Science ®Google Scholar
• Fortune, P. 1991. “Stock market efficiency: an autopsy?” New England Economic Review 15 Mar :17–40.
   Google Scholar
• Frezza, M., S. Bianchi, and A. Pianese. 2021. “Fractal Analysis of Market (In)efficiency During the COVID-19.” Finance Research Letters 38:101851. https://doi.org/10.1016/j.frl.2020.101851.
   PubMedGoogle Scholar
• Guidi, F., R. Gupta, and S. Maheshwari. 2011. “Weak-Form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets.” Journal of Emerging Market Finance 10 (3): 337–89. https://doi.org/10.1177/097265271101000304.
   Google Scholar
• Gupta, M., A. Abdelmaksoud, M. Jafferany, T. Lotti, R. Sadoughifar, and M. Goldust. 2020. “COVID-19 and Economy.” Dermatologic Therapy 33 (4): e13329. https://doi.org/10.1111/dth.13329.
   PubMedGoogle Scholar
• Hendry, S., and M. R. King. 2004. “The Efficiency of Canadian Capital Markets: Some Bank of Canada Research.” Bank of Canada Review 5–17.
   Google Scholar
• Hoque, H. A., J. H. Kim, and C. S. Pyun 2007. “A Comparison of Variance Ratio Tests of Random Walk: A Case of Asian Emerging Stock Markets.” International Review of Economics & Finance 16 (4): 488–502. https://doi.org/10.1016/j.iref.2006.01.001
   Google Scholar
• Islam, S. M., S. Watanapalachaikul, and C. Clark. 2007. “Some Tests of the Efficiency of the Emerging Financial Markets: An Analysis of the Thai Stock Market.” Journal of Emerging Market Finance 6 (3): 291–302. https://doi.org/10.1177/097265270700600304.
   Google Scholar
• Joanes, D. N., and C. A. Gill. 1998. “Comparing measures of sample skewness and kurtosis.” The Statistician 47 (1): 183–89. https://doi.org/10.1111/1467-9884.00122.
   Google Scholar
• Karasiński, J. 2020. “The Changing Efficiency of the European Stock Markets.” Annales Universitatis Mariae Curie-Skłodowska, Sectio H Oeconomia 54 (1): 41–51. https://doi.org/10.17951/h.2020.54.1.41-51.
   Google Scholar
• Kavussanos, M. G., and E. Dockery. 2001. “A Multivariate Test for Stock Market Efficiency: The Case of ASE.” Applied Financial Economics 11:573–79. https://doi.org/10.1080/09603100010013006.
   Google Scholar
• Kilon, J., and P. Jamróz. 2015. “Informational (In)efficiency of the Polish Stock Exchange.” Procedia - Social & Behavioral Sciences 213:390–96. https://doi.org/10.1016/j.sbspro.2015.11.556.
   Google Scholar
• Lalwani, V., and V. V. Meshram. 2020. “Stock Market Efficiency in the Time of COVID-19: Evidence from Industry Stock Returns.” International Journal of Accounting & Finance Review 5 (2): 40–44. https://doi.org/10.46281/ijafr.v5i2.744.
   Google Scholar
• Lazăr, D., and S. Ureche. 2007. “Testing Efficiency of the Stock Market in Emerging Economies.” The Journal of the Faculty of Economics-Economic Science Series 2:827–31.
   Google Scholar
• Lee, M. J., and S. Y. Choi. 2023. “Comparing Market Efficiency in Developed, Emerging, and Frontier Equity Markets: A Multifractal Detrended Fluctuation Analysis.” Fractal and Fractional 7 (6): 478. https://doi.org/10.3390/fractalfract7060478.
   Web of Science ®Google Scholar
• Lim, K. P., and R. Brooks. 2011. “The Evolution of Stock Market Efficiency Over Time: A Survey of Empirical Literature.” Journal of Economic Surveys 25 (1): 69–108. https://doi.org/10.1111/j.1467-6419.2009.00611.x.
   Web of Science ®Google Scholar
• Lo, A. 2004. “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective.” The Journal of Portfolio Management 30 (5): 15–29. https://doi.org/10.3905/jpm.2004.442611.
   Web of Science ®Google Scholar
• MacKinlay, A.1997. “Event Studies in Economics and Finance.” Journal of Economics Literature 35 (1): 13–39.
   Web of Science ®Google Scholar
• Malkiel, B. G. 2003. “The Efficient Market Hypothesis and Its Critics.” Journal of Economic Perspectives 17 (1): 59–82. https://doi.org/10.1257/089533003321164958.
   Web of Science ®Google Scholar
• Marcu, N., C. E. Dobrotă, and R. Antoneac. 2017. “An Investigation of the Day-Of-The-Week Effect in Conditional Variance.” Romanian Journal of Economic Forecasting 20 (2) :124–34.
   Web of Science ®Google Scholar
• Mishkin, F. S. 1978. “Efficient-Markets Theory: Implications for Monetary Policy.” Brookings Papers on Economic Activity, no. (3): 707–52. https://doi.org/10.2307/3217956.
   Web of Science ®Google Scholar
• Mnif, E., A. Jarboui, and K. Mouakhar. 2020. “How the Cryptocurrency Market Has Performed During COVID 19? A Multifractal Analysis.” Finance Research Letters 36:101647. https://doi.org/10.1016/j.frl.2020.101647.
   PubMed Web of Science ®Google Scholar
• Moldovan, D. 2010. “Testing the Efficiency of the Romanian Stock Market.” In Proceedings of the International Conference on Development, Energy, Environment, Economics (DEEE ’10) . (pp. 378–81). Puerto De La Cruz.
   Google Scholar
• Mookerjee, R., and Q. Yu. 1999. “An Empirical Analysis of the Equity Markets in China.” Review of Financial Economics 8:41–60. https://doi.org/10.1016/S1058-3300(99)00006-3.
   Google Scholar
• Moshirian, F., D. Ng, and E. Wu. 2009. “The Value of Stock analysts’ Recommendations: Evidence from Emerging Markets.” International Review of Financial Analysis 18 (1–2): 74–83. https://doi.org/10.1016/j.irfa.2008.11.001.
   Google Scholar
• Novak, I. 2019. “Efficient Market Hypothesis: Case of the Croatian Capital Market.” Journal for the International and European Law, Economics and Market Integrations 6 (1): 3–20. https://doi.org/10.22598/iele.2019.6.1.2.
   Google Scholar
• Officer, R. R. 1972. “The Distribution of Stock Returns.” Journal of the American Statistical Association 67 (340): 807–12. https://doi.org/10.1080/01621459.1972.10481297.
   Web of Science ®Google Scholar
• Okorie, I. D., and B. Lin. 2021. “Adaptive Market Hypothesis: The Story of the Stock Markets and COVID-19 Pandemic.” The North American Journal of Economics & Finance 57:101397. https://doi.org/10.1016/j.najef.2021.101397.
   Web of Science ®Google Scholar
• Onali, E., and J. Goddard. 2011. “Are European Equity Markets Efficient? New Evidence from Fractal Analysis.” International Review of Financial Analysis 20 (2): 59–67. https://doi.org/10.1016/j.irfa.2011.02.004.
   Web of Science ®Google Scholar
• Ortmann, R., M. Pelster, and S. T. Wengerek. 2020. “COVID-19 and Investor Behavior.” Finance Research Letters 37:101717. https://doi.org/10.1016/j.frl.2020.101717.
   PubMed Web of Science ®Google Scholar
• Ozkan, O. 2021. “Impact of COVID-19 on Stock Market Efficiency: Evidence from Developed Countries.” Research in International Business and Finance 58:101445. https://doi.org/10.1016/j.ribaf.2021.101445.
   PubMed Web of Science ®Google Scholar
• Patra, S., and G. S. Hiremath. 2022. “An Entropy Approach to Measure the Dynamic Stock Market Efficiency.” Journal of Quantitative Economics 20 (2): 337–77. https://doi.org/10.1007/s40953-022-00295-x.
   PubMedGoogle Scholar
• Poole, W., E. S. Phelps, and M. N. Baily. 1976. “Rational Expectations in the Macro Model.” Brookings Papers on Economic Activity, no. (2): 463–514. https://doi.org/10.2307/2534381.
   Web of Science ®Google Scholar
• Samuelson, P. 1965. “Proof That Properly Anticipated Prices Fluctuate Randomly.” Industrial Management Review 6 (2): 41–49. https://doi.org/10.2307/3003046
   Web of Science ®Google Scholar
• Sharma, A., and K. Thaker. 2015. “Market efficiency in developed and emerging markets.” Afro-Asian Journal of Finance and Accounting 5 (4): 311–32. https://doi.org/10.1504/AAJFA.2015.073470.
   Google Scholar
• Sherif, M. 2020. “The Impact of Coronavirus (COVID-19) Outbreak on Faith-Based Investments: An Original Analysis.” Journal of Behavioral and Experimental Finance 28:100403. https://doi.org/10.1016/j.jbef.2020.100403.
   PubMed Web of Science ®Google Scholar
• Smith, G. 2012. “The Changing and Relative Efficiency of European Emerging Stock Markets.” European Journal of Finance 18 (8): 689–708. https://doi.org/10.1080/1351847X.2011.628682.
   Web of Science ®Google Scholar
• Țițan, A. G. 2015. “The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research.” Procedia Economics and Finance 32:442–49. https://doi.org/10.1016/S2212-5671(15)01416-1.
   Google Scholar
• Todea, A., and A. Zoicaș-Ienciu. 2008. “Episodic Dependencies in Central and Eastern Europe Stock Markets.” Applied Economics Letters 15 (14): 1123–26. https://doi.org/10.1080/13504850600993614.
   Web of Science ®Google Scholar
• Tsenkov, V., and A. Stoitsova-Stoykova. 2017. “The Impact of the Global Financial Crisis on the Market Efficiency of Capital Markets of South East Europe.” International Journal of Contemporary Economics and Administrative Sciences 7 (2): 31–57.
   Google Scholar
• Urquhart, A. 2014. “The Euro and European Stock Market Efficiency.” Applied Financial Economics 24 (19): 1235–48. https://doi.org/10.1080/09603107.2014.924292.
   Google Scholar
• Vasileiou, E. 2021. “Behavioral Finance and Market Efficiency in the Time of the COVID-19 Pandemic: Does Fear Drive the Market?” International Review of Applied Economics 35 (2): 224–41. https://doi.org/10.1080/02692171.2020.1864301.
   Web of Science ®Google Scholar
• Wald, A., and J. Wolfowitz. 1940. “On a Test Whether Two Samples are from the Same Population.” Annals of Mathematical Statistics 11 (2): 147–62. https://doi.org/10.1214/aoms/1177731909.
   Google Scholar
• Wright, J. H. 2000. “Alternative Variance-Ratio Tests Using Ranks and Signs.” Journal of Business & Economic Statistics 18:1–9. https://doi.org/10.1080/07350015.2000.10524842.
   Web of Science ®Google Scholar
• Zhang, J., Y. Lai, and J. Lin. 2017. “The Day-Of-The-Week Effects of Stock Markets in Different Countries.” Finance Research Letters 20:47–62. https://doi.org/10.1016/j.frl.2016.09.006.
   Web of Science ®Google Scholar