aalto1 untyped-item.component.html
Testing semi-strong market efficiency in relation to COVID-19 announcements: An event study of Finland
Loading...
URL
Journal Title
Journal ISSN
Volume Title
School of Business |
Bachelor's thesis
Unless otherwise stated, all rights belong to the author. You may download, display and print this publication for Your own personal use. Commercial use is prohibited.
Authors
Date
Department
Major/Subject
Mcode
Degree programme
Language
en
Pages
43 + 10
Series
Abstract
Objectives
The main objective of this study was to examine the response of the Finnish market to COVID-19 announcements. Thus, Hypothesis 1 was formulated as follows - The response of the Finnish market to COVID-19 announcements was consistent with the semi-strong form of the Efficient Market Hypothesis. Additionally, four auxiliary hypotheses were proposed. Hypothesis 2 – The response of the Finnish market to COVID-19 announcements became less severe with each subsequent COVID-19 wave. Hypothesis 3 – Finnish market reactions to COVID-19 announcements varied across sectors. Hypothesis 4 – The announcement of the start of a restriction period has a negative impact on the Finnish market. Hypothesis 5 – The announcement of the end of a restriction period has a positive impact on the Finnish market. To assess the hypotheses three waves of the pandemic were investigated.
Summary
To test the above, six Event Studies were conducted, with a sample of 139 companies publicly traded on the NASDAQ Helsinki stock exchange. The six events of interest were all announcements regarding COVID-19 restriction periods issued by the Finnish Government. The firms were divided into 9 sectors using the Global Industry Classification Standard taxonomy.
Conclusions
The reaction of the Finnish market to Event 1 was not consistent with the Efficient Market Hypothesis as defined by Fama (1963) and Samuelson (1965). Thus, Hypothesis 1 has been rejected. Hypothesis 2 has been supported, as the market returned to displaying characteristics of semi-strong form efficiency after the first COVID-19 wave. It was observed that reactions varied across different sectors of the Finnish economy, hence Hypothesis 3 has been supported. Hypothesis 4 has been confirmed by observing that the announcement of the start of the first COVID-19 State of Emergency had a negative impact on the Finnish market. No positive market reactions to announcements of restriction periods ends were observed. Hence, Hypothesis 5 has been rejected.