Examining the Dynamic Asset Market Linkages under the COVID-19 Global Pandemic

Akihiko Noda

Papers from arXiv.org

Abstract: This study examines the dynamic asset market linkages under the COVID-19 global pandemic based on market efficiency, in the sense of Fama (1970). Particularly, we estimate the joint degree of market efficiency by applying Ito et al.'s (2014; 2017) Generalized Least Squares-based time-varying vector autoregression model. The empirical results show that (1) the joint degree of market efficiency changes widely over time, as shown in Lo's (2004) adaptive market hypothesis, (2) the COVID-19 pandemic may eliminate arbitrage and improve market efficiency through enhanced linkages between the asset markets; and (3) the market efficiency has continued to decline due to the Bitcoin bubble that emerged at the end of 2020.

Date: 2021-09, Revised 2021-09
New Economics Papers: this item is included in nep-fmk and nep-isf
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Journal Article: Examining the Dynamic Asset Market Linkages under the COVID-19 Global Pandemic (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2109.02933

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