Market Efficiency During the COVID-19 Pandemic. Some Insights Using Non-Parametric Tests

This paper examines the weak form of the Efficient Market Hypothesis (EMH) across fourteen European Stock Markets from October 2018 to April 2021, a period divided into subsamples based on the outbreak of the COVID-19 pandemic. Using non-parametric tests, including Runs, Bartel’s rank, and Wright’s rank and sign test, the findings indicate that EMH holds for developed capital markets. However, capital markets in Central and Eastern Europe exhibited a heterogeneous response to the pandemic. Some markets violated the efficiency hypothesis (Latvia and Lithuania), others consistently adhered to it (Hungary and Slovenia), while others became less efficient post-pandemic (Estonia and Romania).