Examining the adaptive market hypothesis with calendar effects: International evidence and the impact of COVID-19

Aliaa Bassiouny, Mariam Kiryakos and Eskandar Tooma

Global Finance Journal, 2023, vol. 56, issue C

Abstract: This study examines whether the adaptive market hypothesis (AMH) explains calendar anomalies across 16 headline stock market indices in 10 markets. We employ the rolling window analysis and estimate a T-GARCH (1,1) for a long time series that includes two years coinciding with the COVID-19 pandemic. Overall, the empirical results reveal that calendar day anomalies across our sample markets exhibit time-varying behavior, evolving through patterns that shift markets between periods of efficiency and inefficiency, thereby providing support for the AMH framework. The results also highlight the calendar anomalies that reappeared after the onset of the COVID-19 pandemic across international markets.

Keywords: Adaptive market hypothesis; Day-of-the-week effect; Calendar anomalies; Rolling window analysis; T-GARCH model; COVID-19 (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:56:y:2023:i:c:s1044028322000795

DOI: 10.1016/j.gfj.2022.100777

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