COVID-19 and adaptive behavior of returns: evidence from commodity markets

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 investiga...

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Autor principal: Shahid, Muhammad Naeem
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Palgrave Macmillan UK 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9490740/
https://www.ncbi.nlm.nih.gov/pubmed/36159707
http://dx.doi.org/10.1057/s41599-022-01332-z
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author Shahid, Muhammad Naeem
author_facet Shahid, Muhammad Naeem
author_sort Shahid, Muhammad Naeem
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description 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 behavior of returns from commodities during the ongoing pandemic. The inconsistent return behavior is facilitated by dividing the sample period into different phases. Our results indicate that AMH best explains the impact of COVID-19 on commodity markets.
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spelling pubmed-94907402022-09-21 COVID-19 and adaptive behavior of returns: evidence from commodity markets Shahid, Muhammad Naeem Humanit Soc Sci Commun Article 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 behavior of returns from commodities during the ongoing pandemic. The inconsistent return behavior is facilitated by dividing the sample period into different phases. Our results indicate that AMH best explains the impact of COVID-19 on commodity markets. Palgrave Macmillan UK 2022-09-21 2022 /pmc/articles/PMC9490740/ /pubmed/36159707 http://dx.doi.org/10.1057/s41599-022-01332-z Text en © The Author(s) 2022 https://creativecommons.org/licenses/by/4.0/Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Shahid, Muhammad Naeem
COVID-19 and adaptive behavior of returns: evidence from commodity markets
title COVID-19 and adaptive behavior of returns: evidence from commodity markets
title_full COVID-19 and adaptive behavior of returns: evidence from commodity markets
title_fullStr COVID-19 and adaptive behavior of returns: evidence from commodity markets
title_full_unstemmed COVID-19 and adaptive behavior of returns: evidence from commodity markets
title_short COVID-19 and adaptive behavior of returns: evidence from commodity markets
title_sort covid-19 and adaptive behavior of returns: evidence from commodity markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9490740/
https://www.ncbi.nlm.nih.gov/pubmed/36159707
http://dx.doi.org/10.1057/s41599-022-01332-z
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