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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
