Health risk and the efficient market hypothesis in the time of COVID-19
Source of Publication
International Review of Applied Economics
© 2020 Informa UK Limited, trading as Taylor & Francis Group. In this note, we show that the stock markets do not always incorporate all the available information because in many cases they slowly evaluate the news. Using simple statistical analysis, we show that the response of the markets to the available information in certain time periods is irrational and inefficient. The COVID-19 outbreak gives financial economists an example of health risk underestimation, and of an unexpectedly slow response during a stress period; issues that should be examined in the future under a behavioral view.
Informa UK Limited
Vasileiou, Evangelos; Samitas, Aristeidis; Karagiannaki, Maria; and Dandu, Jagadish, "Health risk and the efficient market hypothesis in the time of COVID-19" (2020). Scopus Indexed Articles. 2707.