COVID-19时期的股票市场效率:来自行业股票回报的证据

International Journal of Accounting & Finance Review Pub Date : 2020-09-02 DOI:10.46281/ijafr.v5i2.744

Vaibhav Lalwani, V. Meshram

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引用次数: 20

摘要

我们使用行业投资组合作为测试资产和一系列统计检验，研究了COVID-19危机开始后股价的信息效率是否下降。结果表明，在新冠肺炎疫情期间，部分行业股票收益的可预测性有所提高。在2019冠状病毒病危机期间，市场的信息效率似乎降低了。JEL分类代码:C58, G01, G10, G14。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Stock Market Efficiency in the Time of COVID-19: Evidence from Industry Stock Returns

Using industry portfolios as test assets and a battery of statistical tests, we study if the informational efficiency of stock prices has declined after the COVID-19 crisis began. The results suggest that the predictability of stock returns in some industries has increased during the COVID-19 period. Markets appear to have become less informationally efficient during the COVID-19 crisis. JEL Classification Code: C58, G01, G10, G14.

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International Journal of Accounting & Finance Review

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