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

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!... show more
Abstract
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.
Publisher
Humanities and Social Sciences Communications
Published On
Sep 21, 2022
Authors
Muhammad Naeem Shahid
DOI
https://doi.org/10.1057/s41599-022-01332-z
Tags
Adaptive Market Hypothesis
COVID-19
commodity returns
econometric models
market behavior
return predictability

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