Impact of COVID-19 on Market Efficiency

49 Pages Posted: 27 Nov 2023 Last revised: 9 Jan 2024

Date Written: January 7, 2024

Abstract

Analyzing all publicly traded U.S. equities for 2014 - September 2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ and daily data from CRSP, Thomson Reuters, Compustat, CRSP-Compustat Merged Database, and FRED, relying upon the objective, systematic, independent, and ordinal per se measures of market efficiency studied by Bhattacharya (2024), Chapter 8, and using fixed effects for ticker-month interactions, I find that U.S. equities markets were statistically and economically significantly less efficient during the first two-three months of the COVID-19 lockdowns.

Keywords: Intraday data; Event studies; Earnings announcements; Analyst forecasts; Key developments; Market efficiency; COVID-19.

JEL Classification: G24; G32; G11; G12; G14; C58; C33.

Suggested Citation

Bhattacharya, Rajeev, Impact of COVID-19 on Market Efficiency (January 7, 2024). Available at SSRN: https://ssrn.com/abstract=4644770 or http://dx.doi.org/10.2139/ssrn.4644770

Rajeev Bhattacharya (Contact Author)

Washington Finance and Economics ( email )

United States

HOME PAGE: http://washington-finance.com

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
22
Abstract Views
251
PlumX Metrics