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

Muhammad Naeem Shahid ()
Additional contact information
Muhammad Naeem Shahid: Government College University Faisalabad

Palgrave Communications, 2022, vol. 9, issue 1, 1-15

Abstract: 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.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1057/s41599-022-01332-z Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palcom:v:9:y:2022:i:1:d:10.1057_s41599-022-01332-z

Ordering information: This journal article can be ordered from
https://www.nature.com/palcomms/about

DOI: 10.1057/s41599-022-01332-z

Access Statistics for this article

More articles in Palgrave Communications from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().