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
Tags
Adaptive Market Hypothesis
COVID-19
commodity returns
econometric models
market behavior
return predictability
Related Publications
Explore these studies to deepen your understanding of the subject.
