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Journals / Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2021 / Cilt: 0 - Sayı: 60

THE VALIDITY OF MARKET EFFICIENCY AND BEHAVIORAL FINANCE THEORIES IN THE COVID-19 PANDEMIC: AN APPLICATION ON INTERNATIONAL MARKETS

COVID-19 PANDEMİSİNDE PİYASA ETKİNLİĞİ VE DAVRANIŞSAL FİNANS TEORİLERİNİN GEÇERLİLİĞİ: ULUSLARARASI PİYASALARDA BİR UYGULAMA

Mehmetcan SUYADAL
Pages
519–546
Publication Date
2022-10-18
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In addition, the results of the Panel Causality Analysis carried out to test the behavioral effects revealed that the Coronavirus Fear Index was the reason for the changes in stock prices in all countries.

📌 3 Key Takeaways

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Objective & Hypothesis:The purpose of this study is to test the Efficient Market Hypothesis and Behavioral Finance Theory which are among the main finance theories, in international stock markets during the Covid19 period.
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Key Findings & Data:In this context, daily and weekly stock market data between 31.12.2019-01.07.2021 for the countries that are in the top six in the world in terms of a total number of cases and weekly search numbers for the term “Covid19” from Google Trends (Coronavirus Fear Index) were used.
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Conclusion & Impact:In addition, the results of the Panel Causality Analysis carried out to test the behavioral effects revealed that the Coronavirus Fear Index was the reason for the changes in stock prices in all countries.
🔬Design:Research Article
📍Scope:2019 Verileri
⚙️Variables:Domain Parameters

Abstract

The purpose of this study is to test the Efficient Market Hypothesis and Behavioral Finance Theory which are among the main finance theories, in international stock markets during the Covid19 period. In this context, daily and weekly stock market data between 31.12.2019-01.07.2021 for the countries that are in the top six in the world in terms of a total number of cases and weekly search numbers for the term “Covid19” from Google Trends (Coronavirus Fear Index) were used. While the validity of the Efficient Market Hypothesis was tested with the Run Test, Dumitrescu & Hurlin (2012) Panel Causality Analysis was used to determine the behavioral effects in the stock markets. The study findings showed that the Efficient Market Hypothesis was accepted in weak form for stock market returns in countries other than the USA and Brazil. In addition, the results of the Panel Causality Analysis carried out to test the behavioral effects revealed that the Coronavirus Fear Index was the reason for the changes in stock prices in all countries.

Özet

Bu çalışmanın amacı, temel finans teorilerinden Etkin Piyasalar Hipotezi ve Davranışsal Finans Teorisinin Covid-19 döneminde uluslararası pay piyasalarında test edilmesidir. Bu kapsamda çalışmada toplam vaka sayısı açısından dünya ölçeğinde ilk altı sırada bulunan ülkelere ilişkin 31.12.2019 - 01.07.2021 tarihleri arası günlük ve haftalık pay piyasası verileri ve Google Trends “Covid19” terimine yönelik haftalık arama sayıları verileri (Koronavirüs Korku Endeksi) kullanılmıştır. Etkin Piyasalar Hipotezinin geçerliliği Koşu (Run) Testi ile test edilirken, pay piyasalarındaki davranışsal etkilerin belirlenebilmesi için Dumitrescu & Hurlin (2012) Panel Nedensellik Analizinden yararlanılmıştır. Çalışma bulguları, Etkin Piyasalar Hipotezinin ABD ve Brezilya dışındaki ülkelerde pay piyasası getirileri için zayıf formda kabul edildiğini göstermiştir. Bunun yanı sıra davranışsal etkilerin test edilmesi için gerçekleştirilen Panel Nedensellik Analizi sonuçları, Koronavirüs Korku Endeksinin tüm ülkelerde pay fiyatlarındaki değişimin nedeni olduğunu ortaya koymuştur.

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Cite This Article

SUYADAL, M. (2022). THE VALIDITY OF MARKET EFFICIENCY AND BEHAVIORAL FINANCE THEORIES IN THE COVID-19 PANDEMIC: AN APPLICATION ON INTERNATIONAL MARKETS. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 0 - Sayı: 60, 519–546. https://ajindex.com/articles/503364

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