مجلة الدراسات الإقتصادية الكمية
Volume 8, Numéro 1, Pages 471-482
2022-06-18

The Impact Of The Covid-19 Crisis On The Efficiency Of The Us Stock Market



Authors : Khedir Zakaria . Saidj Abdelhakim .

Abstract

This paper search the impact of COVID-19 on the efficiency of financial markets, Specifically, the impact of Covid -19 on the Standard and Poor’s 500 (S&P500) index, using three efficiency indicators: Run test, Ljung-Box test, and Bartels test, We used daily data for return (S&P500) index, from 2-10-2019 to 30-06-2020, Divided into two periods, the pre-crisis period from 2-10-2019 to 10-3-2020, and the crisis period from 11-3-2020 to 30-6-2020, the results suggest that the return appeared to be more volatile during the (COVID-19)crisis period and the U.S stock market(s&p500) was efficient in weak form during pre-crisis COVID-19, and not efficient during crisis COVID-19 After the world organization announced that the Coronavirus is a global epidemic.

Keywords

Stock markets ; Efficiency markets ; Random walk ; COVID-19 ; S&P500 ; Run test

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