Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic

Okorie, David Iheke; Lin, Boqiang

doi:10.1016/j.najef.2021.101397

Cited by 58 publications

(29 citation statements)

References 25 publications

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“…The impact on the stock market depends entirely on the extent of Covid-19 spread and how governments respond to take preventive actions that protect their economies (Szczygielski et al 2021 ; Okorie and Lin 2021 ). However, this paper was conducted to answer the question of what if the situation remains, and aim to determine the most affected stock market and to reveal the possible complications of the crisis in the short term in order to extract accurate knowledge that helps decision-makers in developing new recommendations to limit the risky impact—this work based on the use of different datasets that collected from the “Trading Economies” website.…”

Section: Introductionmentioning

confidence: 99%

Regional analytics and forecasting for most affected stock markets: The case of GCC stock markets during COVID-19 pandemic

Alkhatib

Almahmood

Elayan

et al. 2021

Int J Syst Assur Eng Manag

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This paper determines the most affected stock market by COVID-19 among GCC stock markets and extracts the factors that increase this effect. Recommendations from the analytics results are studied, which can mitigate the financial impacts by taking the proper actions to reduce them. Despite the actions taken by countries worldwide to prevent the spread of COVID-19, the financial effects are still unidentified. Recently, the spread of the COVID-19 caused a decline in the stock market indicators because most sectors witnessed a recession because of curfews imposed to limit the spread of the virus. Different datasets are collected from the “Trading Economics” website, related to the indicators of COVID-19 and stock markets for each Gulf Cooperation Council (GCC) country. In addition, constructing visualizations of the most critical factors that support the facts extracted from the correlation analytics results showed that Bahrain was most affected by the COVID-19 pandemic with 47,351 confirmed cases per million populations. Moreover, building a forecasting model using Artificial Neural Network to establish how the virus will continue spreading until the end of May 2020. The results showed that the Kuwait stock market was the most affected by the pandemic, with average losses of −0.28. The losses would soon increase in the Bahrain stock market by −0.29, so in the next two months, the losses would be −0.35%, and Bahrain would be the most affected market in GCC.

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Section: Introductionmentioning

confidence: 99%

Regional analytics and forecasting for most affected stock markets: The case of GCC stock markets during COVID-19 pandemic

Alkhatib

Almahmood

Elayan

et al. 2021

Int J Syst Assur Eng Manag

View full text Add to dashboard Cite

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“…They also noted that there is a need for studies of the impact of the pandemic on European and Asian stocks. Okorie and Lin (2021) investigated how the COVID-19 shock affected market efficiency in the U.S., Brazil, India, and Russia. They employed martingale difference and conditional heteroscedasticity tests and equal sample periods from before and after the onset of the crisis.…”

Section: Introductionmentioning

confidence: 99%

The Exposure of French and South Korean Firm Stock Returns to Exchange Rates and the COVID-19 Pandemic

Thorbecke

2021

JRFM

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Rogoff predicted that the U.S. dollar will depreciate and that exchange rate volatility will return. The coronavirus crisis has also roiled the world economy. This paper investigates the exposure of French and Korean firm stock returns to exchange rate appreciations and the pandemic. Both France and Korea are major exporters, but Korea has managed the crisis better than France. The results indicate that Korean firms have come through the pandemic better than French firms. The findings also indicate that the Korean economy is less exposed to appreciations than the French economy. This paper concludes with suggestions to increase firms’ resilience to these shocks.

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“…The COVID-19 pandemic offers another such natural setting for examining investors' behavior to address the gap in the related findings (Ortmann et al, 2020). In concurrence, some recent studies have discussed the upheaval caused by the pandemic in the financial markets and its impact on investors, thereby underscoring the need to understand investor behavior better (e.g., Al-Awadhi et al, 2020;O'Donnell et al, 2021;Okorie & Lin, 2021). In this regard, Bansal (2020) has suggested that the extreme volatility and market crash during COVID-19 should be analyzed through the lens of behavioral biases and related cognitive errors.…”

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confidence: 99%

Why retail investors traded equity during the pandemic? An application of artificial neural networks to examine behavioral biases

Talwar¹,

Talwar

Tarjanne

et al. 2021

Psychology and Marketing

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Behavioral biases are known to influence the investment decisions of retail investors.Indeed, extant research has revealed interesting findings in this regard. However, the literature on the impact of these biases on millennials' trading activity, particularly during a health crisis like the COVID-19 pandemic, as well as the equity recommendation intentions of such investors, is limited. The present study addressed these gaps by investigating the influence of eight behavioral biases: overconfidence and selfattribution, over-optimism, hindsight, representativeness, anchoring, loss aversion, mental accounting, and herding on the trading activity and recommendation intentions of millennials during the pandemic. An artificial neural network approach was used to analyze the data collected from 351 millennial men in Finland. The results revealed that herding, hindsight, overconfidence and self-attribution, representativeness, and anchoring influence both trading activity and recommendation intentions, albeit to varying extents. Notably, loss aversion and mental accounting influence only the recommendation intentions. Furthermore, the relationship of the two endogenous variables is nonlinear with herding, representativeness, and anchoring but is linear with other biases. In addition to the quantitative study, we also conducted a post hoc qualitative study with 19 millennials to evaluate the persistence of behavioral biases among them through the pandemic. K E Y W O R D S artificial neural network (ANN), behavioral biases, behavioral finance, heuristic simplification, retail investors 1 | INTRODUCTION Behavioral finance has emerged as a key field of study in the area of investment management. It examines the rationally inexplicable behavioral aspects of individuals and institutions transacting in financial markets. An increase in the investment activity of retail participants during the recent past has made understanding such behavioral aspects all the more critical (Seth et al., 2020). In this regard, scholars have observed that two distinct sets of factors drive retail investors' decision to invest: (a) rational factors related to traditional finance (Cuong & Jian, 2015) and (b) irrational factors that come under the domain of behavioral finance (Baltussen & Post, 2011). Traditional finance assumes that This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.

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Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic

Cited by 58 publications

References 25 publications

Regional analytics and forecasting for most affected stock markets: The case of GCC stock markets during COVID-19 pandemic

Regional analytics and forecasting for most affected stock markets: The case of GCC stock markets during COVID-19 pandemic

The Exposure of French and South Korean Firm Stock Returns to Exchange Rates and the COVID-19 Pandemic

Why retail investors traded equity during the pandemic? An application of artificial neural networks to examine behavioral biases

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