The IUP Journal of Accounting Research and Audit Practices:
Testing Market Efficiency During Covid-19 Pandemic:A Study of Select Global Indices †

Article Details
Pub. Date : Oct, 2022
Product Name : The IUP Journal of Accounting Research and Audit Practices
Product Type : Article
Product Code : IJARAP051022
Author Name : Gattaiah Tadoori and V Usha Kiran
Availability : YES
Subject/Domain : Finance
Download Format : PDF Format
No. of Pages : 15



The Covid-19 crisis provided an opportunity to generate excess returns as stocks were trading below their fair value. The first infection case was reported in November 2019, and a sharp fall in global markets was witnessed soon thereafter. Though markets gradually recovered from their respective lows, its impact was felt across major parts of the globe till early 2021. The paper analyzes the efficiency of 44 world major stock exchanges (Asia-Pacific-17, Europe-16, America-6 and Africa-5) for 15 months (November 2019 to January 2021), and tests whether markets move randomly or whether they are adaptive in nature, i.e., whether Efficient Market Hypothesis (EMH) or Adaptive Market Hypothesis (AMH) holds good in such conditions. The results of Hurst exponent and Variance Test (VT) ratio prove that markets are adaptive.


The fundamental aim of investment in capital markets is to generate returns in an unpredictable environment. Stock prices depend on a variety of factors, ranging from the company's fundamental factors, technical factors, and finally the behavior of investors. Fundamental factors such as the company's earnings, rate of dividend, growth prospects, management, etc., influence technical analysis as it assumes history repeats and stock prices move in a pattern. Eventually, the behavior of investors and their reactions to fundamental factors, technical factors, and all relevant information are the deciding factor in price determination. With the help of all available information, whether the investors are able to generate an excess return over market return is important question. All kinds