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

Bolek Monika, Gniadkowska-Szymańska Agata () and Lyroudi Katerina
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Bolek Monika: University of Lodz, Faculty of Economics and Sociology, 39 Rewolucji 1905, 90-214 Lodz, Poland
Gniadkowska-Szymańska Agata: University of Lodz, Faculty of Economics and Sociology, 39 Rewolucji 1905, 90-214 Lodz, Poland
Lyroudi Katerina: Hellenic Open University, Par. Aristotle 18, 263 35, Patras, Greece

Central European Economic Journal, 2022, vol. 9, issue 56, 158-177

Abstract: 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: COVID-19; market efficiency; day-of-a-week anomaly (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ceuecj:v:9:y:2022:i:56:p:158-177:n:8

DOI: 10.2478/ceej-2022-0010

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