Efficient Market Hypothesis, Covid-19 and Accumulated Return of Common Shares – Event Study of The Top Chinese Financial Institutions by Market Value Criterion
DOI :
https://doi.org/10.23925/2178-0080.2023v25i1.90762Mots-clés :
event study, Covid-19, return, efficient marketRésumé
This work analyzed, via event study methodology, the impact of the disclosure of two relevant decrees in 2020 (1. quarantine in the city of Wuhan by the Chinese government on January 22; 2. COVID-19 pandemic by the WHO on March 11 ) in the cumulative return of the common shares of the four largest Chinese banks by the market value criterion. Event 1 presented p-values greater than 0.05 in the estimation window, showing no statistically significant impact on the behavior of the abnormal cumulative return of selected common shares, characterizing informational inefficiency. For event 2, the opposite is in the days close to the disclosure (p-values lower than 0.05) under the expected behavior of price adjustment in efficient markets.
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