The Day‑of‑the‑Week Anomaly in Light of the COVID–19 Pandemic on an Example of Selected OMX Indices

This paper analyzes market efficiency (EMH) with the day‑of‑the‑week effect and the changes that might appear after the outbreak of the COVID–19 pandemic, based on the example of the OMX Exchange and its indices. Before the pandemic, only the OMX Baltic All‑share index was efficient; during the COVI...

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Bibliographic Details
Published inComparative economic research. Central and Eastern Europe Vol. 26; no. 2; pp. 129 - 148
Main Authors Bolek, Monika, Gniadkowska‑Szymańska, Agata, Lyroudi, Katerina
Format Journal Article
LanguageEnglish
Published Lodz Wydawnictwo Uniwersytetu Łódzkiego 01.01.2023
Lodz University Press
Subjects
COVID-19
day-of-the-week anomaly
Economy
market efficiency
COVID–19
market efficiency
day‑of‑the‑week anomaly
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ISSN1508-2008
2082-6737
2082-6737
DOI10.18778/1508-2008.26.16

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Summary:This paper analyzes market efficiency (EMH) with the day‑of‑the‑week effect and the changes that might appear after the outbreak of the COVID–19 pandemic, based on the example of the OMX Exchange and its indices. Before the pandemic, only the OMX Baltic All‑share index was efficient; during the COVID–19 pandemic, the OMXCPI Index, which represents the Copenhagen stock market, was not affected by the day‑of‑the‑week anomaly. The change in market efficiency was observed in relation to the periods before and during the pandemic, and additionally between specific days of the week. The value added of this paper is related to the evidence that COVID–19 influenced market efficiency but not the quality of trading.
ISSN:1508-2008
2082-6737
2082-6737
DOI:10.18778/1508-2008.26.16