COVID-19 and adaptive behavior of returns: evidence from commodity markets

Abstract

This study examines the Adaptive Market Hypothesis during the COVID-19 pandemic. The pandemic has impacted global economic activity, trade, and financial market activity. There has been much interest in testing financial market theories and relationships during COVID-19. Therefore, we have investigated the varying return predictability from commodities during COVID-19 concerning the adaptive market hypothesis. By applying linear and non-linear econometric models, we find a strong engagement of adaptive behavior of returns from commodities during the ongoing pandemic. The inconsistent return behavior is facilitated by dividing the sample period into different phases. Our results indicate that AMH best explains the impact of COVID-19 on commodity markets.

Fintech, and Mineral Resources Deteriorate Climate Sustainability: A Significant Role of Institutional Quality and Social Capital

“…The period incorporates the pandemic era and both pre-and post-COVID periods. Incorporation of the COVID-19 era in the sample period is very important because all the economies have suffered different shocks which have changed the financial and economic scenarios of all the economies [29]. The Asian Economies are selected for the analysis and the investigation on such a topic is ignored in Asian countries.…”

Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum

“…Market Efficiency and Calendar Anomalies Post-COVID: Insights from Bitcoin and Ethereum Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum learning, and the interplay between rational and irrational behavior in shaping financial markets (Shahid, 2022). Lo (2004) proposed the Adaptive Markets Hypothesis (AMH), which offers a valuable framework for understanding the dynamics of cryptocurrency markets.…”