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Examining the Dynamic Asset Market Linkages under the COVID-19 Global Pandemic

Author

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  • Akihiko Noda

    (School of Commerce, Meiji University)

Abstract

This study examines dynamic asset market linkages during the global COVID-19 pandemic based on market efficiency in the sense of Fama (1970). In particular, we estimate the joint degree of market efficiency by applying a generalized least squares (GLS)-based time-varying autoregressive (TV-VAR) model of Ito et al. (2014, 2017). The results show that (1) the joint degree of market efficiency changes widely over time, consistent with the adaptive market hypothesis of Lo's (2004), (2) the global COVID-19 pandemic may have eliminated arbitrage and improved market efficiency through enhanced linkages among asset markets, and (3) market efficiency has continued to decline due to the Bitcoin bubble that emerged at the end of 2020.

Suggested Citation

  • Akihiko Noda, 2022. "Examining the Dynamic Asset Market Linkages under the COVID-19 Global Pandemic," Economics Bulletin, AccessEcon, vol. 42(2), pages 653-661.
    • Handle: RePEc:ebl:ecbull:eb-21-01085
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    COVID-19; Asset Market Linkages; Adaptive Market Hypothesis; Efficient Market Hypothesis; GLS-Based Time-Varying Model Approach.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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