Abstract
Purpose – Verification of the change in the efficiency of the US stock market from the 2007-2009 financial crisis to the COVID-19 pandemic. Research method – The BDS test (occurrence of non-linear relationships between daily logarithmic rates of return) and the Quenouille autocorrelation test up to the fifth order (occurrence of linear relationships between daily logarithmic rates of return) for the S&P500 and DJIA indices were used. Results – The occurrence of unusual phenomena changes the level of US stock market effectiveness. An increase in inefficiency was observed both during the 2007-2009 financial crisis and now, during the COVID-19 pandemic. Higher-level relationships between rates of return were found during the COVID-19 pandemic. Originality / value / implications / recommendations – A comparison of the impact of two recent global events on the level of efficiency of the US stock market. Additionally, the article indicates which of the two key US stock indices provided more frequent investment opportunities.
Highlights
The occurrence of unusual phenomena changes the level of US stock market effectiveness
Higher-level relationships between rates of return were found during the COVID-19 pandemic
Rynki Finansowe, Ubezpieczenia”, nr 75, s. 590-591, DOI: 10.18276 /frfu.2015.75-48
Summary
Purpose – Verification of the change in the efficiency of the US stock market from the 2007-2009 financial crisis to the COVID-19 pandemic. Results – The occurrence of unusual phenomena changes the level of US stock market effectiveness. Originality / value / implications / recommendations – A comparison of the impact of two recent global events on the level of efficiency of the US stock market. Jednak co jakiś czas pojawiają się niespodziewane wydarzenia, takie jak globalna pandemia czy międzynarodowy kryzys finansowy. Inwestorzy funkcjonujący w tych nowych warunkach nie zawsze podejmują racjonalne, optymalne decyzje, co może mieć wpływ na poziom efektywności poszczególnych rynków. W niniejszym artykule zweryfikowano, czy i jak zmieniał się poziom efektywności amerykańskiego rynku akcji w ciągu ostatnich 15 lat, kiedy to nastąpiły wspomniane wcześniej wydarzenia
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