The Epidemic of COVID-19 and the Persistence of MINT Stock Prices

Nuruddeen Usman (nuruddeen.usman@outlook.com) and Chinecherem Dionne Okoronkwo (nuruddeen.usman@bankofengland.co.uk)
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Chinecherem Dionne Okoronkwo: Bank of England, United Kingdom

Asian Economics Letters, 2024, vol. 5, issue 1, 1-6

Abstract: This paper analyzes the Efficient Market Hypothesis (EMH) and stock price predictability for the economies of Mexico, Indonesia, Nigeria, and Turkey (MINT) using the fractional integration method. The result negates the Efficient Market Hypothesis for Nigeria and Indonesia. However, there is a slight divergence in the level of shock persistence in the two stock markets. Additionally, the differencing parameter was relatively unstable during the COVID-19 period, suggesting that the pandemic has had an impact on the level of stock price persistence in MINT countries.

Keywords: Fractional integration; Stock prices; COVID-19 (search for similar items in EconPapers)
JEL-codes: E44 E65 G12 I18 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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