2022
DOI: 10.1057/s41599-022-01332-z
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COVID-19 and adaptive behavior of returns: evidence from commodity markets

Abstract: This study examines the Adaptive Market Hypothesis during the COVID-19 pandemic. The pandemic has impacted global economic activity, trade, and financial market activity. There has been much interest in testing financial market theories and relationships during COVID-19. Therefore, we have investigated the varying return predictability from commodities during COVID-19 concerning the adaptive market hypothesis. By applying linear and non-linear econometric models, we find a strong engagement of adaptive behavio… Show more

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Cited by 7 publications
(2 citation statements)
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“…The period incorporates the pandemic era and both pre-and post-COVID periods. Incorporation of the COVID-19 era in the sample period is very important because all the economies have suffered different shocks which have changed the financial and economic scenarios of all the economies [29]. The Asian Economies are selected for the analysis and the investigation on such a topic is ignored in Asian countries.…”
Section: Methodology and Data Descriptionmentioning
confidence: 99%
“…The period incorporates the pandemic era and both pre-and post-COVID periods. Incorporation of the COVID-19 era in the sample period is very important because all the economies have suffered different shocks which have changed the financial and economic scenarios of all the economies [29]. The Asian Economies are selected for the analysis and the investigation on such a topic is ignored in Asian countries.…”
Section: Methodology and Data Descriptionmentioning
confidence: 99%
“…Market Efficiency and Calendar Anomalies Post-COVID: Insights from Bitcoin and Ethereum Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum learning, and the interplay between rational and irrational behavior in shaping financial markets (Shahid, 2022). Lo (2004) proposed the Adaptive Markets Hypothesis (AMH), which offers a valuable framework for understanding the dynamics of cryptocurrency markets.…”
Section: Sonal Sahumentioning
confidence: 99%