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All Journal Journal of Management Practices, Humanities and Social Sciences
Sumaira Ghaffar
International Islamic university Islamabad, Islamabad, Pakistan
Arts Humanities Economics, Econometrics & Finance Education Social Sciences

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Block Chain Markets During COVID-19. From the Perspective of Market Efficiency and Behavioral Finance Sumaira Ghaffar; Sidra Gazali; Shahab Aziz
Journal of Management Practices, Humanities and Social Sciences Vol. 8 No. 3: JMPHSS
Publisher : Journal of Management Practices, Humanities and Social Sciences

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33152/jmphss-8.3.3

Abstract

The Corona crisis adversely affected the financial system. Investor’s behavior tends to change in periods of crisis. Therefore, current study investigated top five cryptocurrency market efficiency and its association with behavioral finance in terms of investor irrational behavior during COVID-19. Current study followed parametric or non-parametric techniques for analysis of weak form market efficiency for time period Jan 2020 till July 2020 using Statgraphics 18 and EVIEWS. Findings of study suggest that markets are inefficient during the corona crisis. This research paper provides implication both theoretically and on the regulatory authorities. Future research should consider all fifty markets in order to check validity of efficient market hypothesis. Clemente, Montañ és, and Reyes (1998) tests are constructed on the basis of the advanced outlier and additive outliers. Future study should consider pre post analysis in order to draw compression for better results. Current study provides fruitful information for policy makers and regulatory authorities for decision making. Although findings of current study are introductory in nature as this study measures the presence of EMH in block chain markets. This study also provides theoretical implications.
Investigating Efficiencies in Financial Markets and the Spillover Effects of COVID-19: Evidence from the Most Affected Countries Maryam; Sumaira Ghaffar; Sonia Bibi; Sidra Gazali; Dr. Asma Zeeshan
Journal of Management Practices, Humanities and Social Sciences Vol. 7 No. 4: JMPHSS
Publisher : Journal of Management Practices, Humanities and Social Sciences

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33152/jmphss-7.4.5

Abstract

This study examines the volatility transmission of COVID-19 to different financial markets, specifically oil, gold, Bitcoin, and the stock market, in the countries with the highest number of coronavirus-infected cases reported. The sample includes China, Italy, the U.K., and the U.S., and the sample period is January 2, 2020, to June 30, 2020. The garch-in-mean test has been utilized to examine the volatility transmission, and the results show that COVID-19 negatively affects the gold returns in China, Italy, and the U.S. The spillover transmission of the pandemic has also extended to the stock markets in China, Italy, and the U.S., negatively affecting returns. The spillover to the oil market is positive and only significant for the U.K. In cryptocurrencies, Bitcoin returns are negatively affected as a response to the volatility spillover in the U.K. Market efficiency has also been investigated in the aforementioned financial markets through the JarqueBera statistic, autocorrelation test, unit root tests, and multiple variance ratio test. Most of the tests reflect the inefficiency in almost all of the markets of the selected sample. Most of the markets have proven to be inefficient. The findings have significant implications for market participants and policymakers in understanding how sensitive financial markets are to the pandemic, which will help develop appropriate and required response mechanisms.
Co-Authors Dr. Asma Zeeshan Maryam Shahab Aziz Sidra Gazali Sonia Bibi