Economics

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

M. N. Shahid

This study by Muhammad Naeem Shahid delves into the Adaptive Market Hypothesis (AMH) amid the COVID-19 pandemic, uncovering significant adaptive behavior in commodity returns through varied econometric models. Discover how the pandemic has reshaped the landscape of commodity markets!

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Playback language: English

Index

Abstract

This study examines the Adaptive Market Hypothesis (AMH) during the COVID-19 pandemic, investigating varying return predictability from commodities. Using linear and non-linear econometric models and dividing the sample period into different phases (epidemic, pandemic, endemic, and fatality periods), the study finds strong evidence of adaptive behavior in commodity returns. The results suggest that AMH best explains the impact of COVID-19 on commodity markets.

Publisher

Humanities and Social Sciences Communications

Published On

Sep 21, 2022

Authors

Muhammad Naeem Shahid

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