Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets

Bolek, Monika; Gniadkowska-Szymańska, Agata; Lyroudi, Katerina

Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets

Central European Economic Journal

Volume 9 (2022): Issue 56 (January 2022)

By:

Monika Bolek

, Agata Gniadkowska-Szymańska

and Katerina Lyroudi

Open Access

|Jul 2022

Figures & Tables

OLS regression results, COVID-19 period

	Sample	Const.	Mon	Tues	Wed	Thu	Fri	R² %	Adj. R² %	F-stat.
(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)
Explained variable: average daily returns
OMXTGI. OMX TALLINN - Estonia	259	−0.00806343 (t = −0.6371)	0.012248 (t = 0.9588)	0.008246 (t = 0.6454)	0.007198 (t = 0.5635)	0.01009 (t = 0.7895)	0.004602 (t = .0.3601)	4.2437	2.3513	2.242461
OMXRGI. OMX RIGA – Latvia	259	−0.00117418 (t = −0.0749)	0.004642 (t = 0.2934)	0.000865 (t = 0.0547)	0.002482 (t = 0.1569)	0.003359 (t = 0.2122)	−0.00277662 (t = −0.1754)	2.5863	0.6611	1.343395
OMXVGI. OMX VILNIUS – Lithuania	259	0.009522 (t 0.9140)	−0.0084585 (t = −0.8043)	−0.00988527 (t = −0.9400)	−0.00690233 (t = −0.6562)	−0.00805887 (t = −0.7659)	−0.0112542 (t = −1.0696)	2.3496	0.4197	1.217484
BALTIC COUNTRIES	777	−0.00905749 (t = −0.6951)	0.011963 (t = 0.9152	0.008842 (t = 0.6756)	0.010122 (t = 0.7744)	0.011023 (t = 0.8431)	0.006028 (t = 0.4611)	2.4806	1.8482	3.922341
OMXN40 - Denmark, Finland, Iceland, and Sweden	263	−0.0432432 ^*** (t = −2.8169)	0.045843 ^*** (t = 2.9585)	0.048156 ^*** (t = 3.1088)	0.044532 ^*** (t = 2.8744)	0.040679 ^*** (t = 2.6243)	0.041578 ^*** (t = 2.6813)	6.0921	4.2651	3.334466 ^**
OMXCPI – Copenhagen – Denmark	261	0.00294 (t = 0.2146)	−0.00118914 (t = −0.0860)	−0.000729008 (t = −0.0527)	−0.00127875 (t = −0.0925)	−0.00361197 (t = −0.2610)	−0.0031384 (t = −0.2267)	0.7139	−1.2329	0.3667
OMXHPI – OMX All-Share Helsinki – Finland	263	0.06388 ^*** (t = 3.8940)	−0.0637046 ^*** (t = −3.8478)	−0.0589557 ^*** (t = −3.5610)	−0.0630593 ^*** (t = −3.8088)	−0.0666889 ^*** (t = −4.0259)	−0.0654264 ^*** (t = −3.9482)	7.7922	5.9982	4.34364 ^***
OMXH25 – OMX HELSINKI 25 - Finland	263	0.009535 (t = 0.5481)	−0.00940854 (t = −0.5359)	−0.00337906 (t = −0.1925)	−0.0082862 (t = −0.4720)	−0.0126644 (t = −0.7209)	−0.0115474 (t = −0.6570)	3.5336	1.6568	1.882797
OMXIPI – OMX All-Share Reykjavik - Iceland	260	0.015659 (t = 1.1284)	−0.0167938 (t = −1.1987)	−0.00978353 (t = −0.6987)	−0.0126375 (t = −0.9023)	−0.0167773 (t = −1.1968)	−0.0156065 (t = −1.1132)	4.2628	2.3783	2.61947
OBX – OSLO - Norway	263	0.052586 ^*** (t = 3.1320)	−0.0541017 ^*** (t = −3.1922)	−0.0468051 ^*** (t = −2.7622)	−0.0512983 ^*** (t = −3.0278)	−0.057061 ^*** (t = −3.3650)	−0.0530697 ^*** (t = −3.1296)	7.3553	5.5528	4.080755 ^**
OSEAX – OSLO BøRS All-Share - Norway	265	−0.0186745 (t = −1.0953)	0.016583 (t = 0.9636)	0.025383 (t = 0.4754)	0.019528 (t = 0.1351)	0.014792 (t = 0.8594)	0.019174 (t = 1.1133)	4.8611	3.0245	2.646715
OMXS30 – OMX STOCKHOLM 30 - Sweden	263	−0.0123319 (t = −0.7127)	0.014953 (t = 0.8562)	0.018098 (t = 1.0365)	0.013151 (t = 0.7531)	0.008259 (t = 0.4726)	0.009823 (t = 0.5620)	4.2598	2.3971	2.28633
OMXSPI - Stockholm – Sweden	263	−0.0328851 ^* (t = −1.9357)	0.034436 ^** (t = 2.0085)	0.038514 ^** (t = 2.2467)	0.034724 ^** (t = 2.0250)	0.029323 ^* (t = 1.7094)	0.031634 ^* (t = 1.8434)	4.7284	2.8748	2.550992 ^*

Descriptive statistics of average daily returns for each index in pre- and COVID-19 periods and the comparison of two sample means t-tests

	Pre-COVID 19 Period			COVID 19 Period			Comparison
	Number of Observations	Mean Returns	Standard Deviation	Number of Observations	Mean Returns	Standard Deviation	p-value for means t-stat
OMXTGI. OMX TALLINN – Estonia
All Days	2776	0.000603	0.009463	258	0.000408	0.012807	0.7596
Monday	551	0.000531	0.010847	53	0.004184	0.008230	0.0173^*
Tuesday	560	−0.000202	0.008635	53	0.000183	0.007335	0.7536
Wednesday	561	0.001238	0.008705	52	−0.000866	0.015826	0.0001^*
Thursday	552	0.001073	0.009292	50	0.002027	0.009165	0.4867
Friday	552	0.000379	0.009640	50	−0.003461	0.018689	0.0151^*
OMXRGI. OMX RIGA – Latvia
All Days	2776	0.000561	0.012448	258	0.000584	0.015723	0.9779
Monday	550	0.000779	0.011032	53	0.003467	0.019925	0.0001^*
Tuesday	561	0.000499	0.012194	53	−0.000309	0.010163	0.6405
Wednesday	561	0.000191	0.013148	52	0.001308	0.012363	0.5561
Thursday	552	0.001200	0.013840	50	0.002185	0.008272	0.6207
Friday	552	0.000104	0.011795	50	−0.003951	0.022738	0.0356^*
OMXVGI. OMX VILNIUS – Lithuania
All Days	2776	0.000543	0.008687	258	0.059855	1.064850	0.0034^*
Monday	550	0.000708	0.007501	53	0.103917	0.702093	0.0006^*
Tuesday	561	0.000540	0.007727	53	−0.042913	1.169705	0.3756
Wednesday	561	0.000107	0.009181	52	0.256496	1.024408	0.0001^*
Thursday	552	0.000227	0.009835	50	0.144732	0.555500	0.0001^*
Friday	552	0.001139	0.008971	50	−0.185058	1.566919	0.0050^*
OMX BGI BALTIC COUNTRIES
All Days	8328	0.000569	0.010326	776	0.000549	0.013152	0.9599
Monday	1650	0.000673	0.009921	159	0.002905	0.013075	0.0087^*
Tuesday	1683	0.000279	0.009712	159	−0.000215	0.009746	0.5400
Wednesday	1683	0.000512	0.010541	159	0.001064	0.013030	0.5371
Thursday	1656	0.000833	0.011176	149	0.001965	0.007748	0.2263
Friday	1656	0.000541	0.010210	150	−0.003029	0.018891	0.0002^*
OMXN40 – Four NORDIC COUNTRIES – Denmark, Finland, Iceland, and Sweden
All Days	4573	0.000216	0.014102	262	0.000844	0.015689	0.4861
Monday	908	0.000181	0.015724	53	0.002599	0.017434	0.2797
Tuesday	925	−0.000128	0.013536	55	0.004912	0.014118	0.0088^*
Wednesday	927	0.000493	0.013987	54	0.001289	0.013689	0.6841
Thursday	910	0.000175	0.014298	51	−0.002564	0.018873	0.1918
Friday	903	0.000361	0.012827	49	-0.001665	0.011415	0.2793
OMXCPI – COPENHAGEN – Denmark
All Days	6023	0.000434	0.010654	260	0.001020	0.013617	0.3914
Monday	1190	0.000551	0.011734	53	0.001750	0.015417	0.4735
Tuesday	1234	0.000181	0.010246	55	0.002211	0.011513	0.1530
Wednesday	1233	0.000526	0.010697	55	0.001661	0.012991	0.4460
Thursday	1187	0.000023	0.010470	49	−0.000672	0.016718	0.6678
Friday	1179	0.000898	0.010042	48	−0.000199	0.011127	0.4602
OMXHPI – OMX ALL-SHARE HELSINKI – Finland
All Days	8298	0.000740	0.036425	262	0.000625	0.016920	0.9594
Monday	1654	0.000156	0.015388	54	0.000175	0.020499	0.9922
Tuesday	1687	0.001415	0.064659	54	0.004924	0.013589	0.6904
Wednesday	1689	−0.000320	0.023239	54	0.000820	0.015212	0.7204
Thursday	1646	0.000707	0.017483	51	−0.002809	0.019444	0.1589
Friday	1622	0.001174	0.014644	49	−0.001547	0.011123	0.1975
OMXH25 – OMX HELSINKI 25 – Finland
All Days	7952	0.000344	0.014269	262	0.000632	0.017543	0.7498
Monday	1583	−0.000006	0.014977	54	0.000127	0.021140	0.9496
Tuesday	1614	−0.000054	0.014248	55	0.006156	0.016508	0.0016^*
Wednesday	1618	0.000113	0.014478	54	0.001249	0.015809	0.5825
Thursday	1580	0.000668	0.014311	51	−0.003129	0.019910	0.0661^*
Friday	1557	0.001023	0.013252	48	−0.002012	0.011588	0.1170
OMXIPI – OMX ALL-SHARE REYKJAVIK – Iceland
All Days	6732	0.000309	0.012496	259	0.001503	0.014045	0.1332
Monday	1298	−0.000499	0.009211	52	−0.001135	0.018370	0.6435
Tuesday	1383	−0.000638	0.021791	55	0.005876	0.010077	0.0275^*
Wednesday	1384	0.000505	0.008206	54	0.003022	0.010615	0.0291^*
Thursday	1310	0.000926	0.008455	49	−0.001118	0.017174	0.1151
Friday	1357	0.001254	0.008368	49	0.000053	0.011266	0.3304
OBX – OSLO – Norway
All Days	5121	0.000467	0.014687	262	0.000408	0.017277	0.9499
Monday	1003	0.000101	0.016232	53	−0.001516	0.022900	0.4903
Tuesday	1040	0.000448	0.013719	54	0.005781	0.011996	0.0052^*
Wednesday	1043	0.000072	0.014299	55	0.001288	0.012954	0.5472
Thursday	1008	0.000764	0.015105	50	−0.004475	0.018890	0.0183^*
Friday	1027	0.000955	0.014010	50	−0.000484	0.014988	0.4798
OSEAX – OSLO Børs ALL-SHARE –- Norway
All Days	9305	0.000542	0.012786	264	0.000411	0.017313	0.8711
Monday	1824	0.000081	0.014129	53	−0.002092	0.023514	0.2813
Tuesday	1894	0.000227	0.012656	55	0.006708	0.013852	0.0002^*
Wednesday	1896	0.000305	0.012558	55	0.000853	0.013268	0.7501
Thursday	1827	0.000700	0.012976	52	−0.003883	0.018458	0.0853
Friday	1864	0.001397	0.011481	49	0.000499	0.013914	0.5911
OMXS30 – OMX STOCKHOLM 30 – Sweden
All Days	8365	0.000417	0.014129	262	0.000623	0.017515	0.8210
Monday	1650	0.000209	0.015907	54	0.002621	0.021219	0.2788
Tuesday	1702	0.000242	0.013351	55	0.005766	0.015538	0.0027^*
Wednesday	1702	0.000288	0.013931	54	0.000819	0.014988	0.7833
Thursday	1672	0.000502	0.014070	50	−0.004073	0.020223	0.0257^*
Friday	1639	0.000858	0.013257	49	−0.002509	0.012995	0.0798
OMXSPI – STOCKHOLM – Sweden
All Days	9239	0.051219	0.878145	262	0.000817	0.017238	0.3529
Monday	1812	0.034482	0.692521	54	0.001551	0.021093	0.7269
Tuesday	1875	0.041690	0.825746	55	0.005629	0.015026	0.0012^*
Wednesday	1879	0.030688	0.610717	53	0.001839	0.014346	0.7310
Thursday	1844	0.038302	0.764754	51	−0.003562	0.020407	0.6960
Friday	1829	0.111683	1.321152	49	−0.001251	0.011967	0.5498

OLS regression results for the day-of-the-week effect: pre-COVID 19 period

	Sample	Const.	Mon	Tues	Wed	Thu	Fri	R² %	Adj. R² %	F-stat.
(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)
Explained variable: average daily returns
OMXTGI. OMX TALLINN - Estonia	2778	−0.000117998 (t = −0.0041)	0.000649 (t = 0.0225)	−8.41744e-05 (t = −0.0029)	0.001356 (t = 0.0471)	0.001191 (t = 0.0413)	0.000497 (t = 0.0173)	0.2916	0.1117	1.621343
OMXRGI. OMX RIGA – Latvia	2778	0.010796 (t = 0.3179)	−0.0100172 (t = −0.2949)	−0.0102966 (t = −0.3031)	−0.0106046 (t = −0.3122)	−0.00959593 (t = −0.2825)	−0.0106924 (t = −0.3148)	0.1087	−0.0714	0.60357
OMXVGI. OMX VILNIUS - Lithuania	2778	0.000842 (t = 0.3034)	−0.000134135 (t = −0.0479)	−0.000302315 (t = −0.1080)	−0.000735549 (t = −0.2628)	−0.000614961 (t = −0.2196)	0.000296 (t = 0.1057)	0.1699	−0.0101	0.943669
BALTIC COUNTRIES	8334	0.00384 (t = 0.3669)	−0.0031676 (t = −0.3026)	−0.00356105 (t = −0.3402)	−0.00332814 (t = −0.3179)	−0.00300669 (t = −0.2872)	−0.00329957 (t = −0.3152)	0.0332	−0.0268	0.553843
OMXN40 - Denmark, Finland, Iceland, and Sweden	3977	−0.0250465 ^*** (t = −3.7691)	0.0254 ^*** (t = 3.5864)	0.02532 ^*** (t = 3.2024)	0.02605 ^** (t = 3.2839)	0.02496 ^*** (t = 3.5379)	0.02576 ^*** (t = 3.3957)	0.3820	0.2036	0.30555^**
OMXCPI – Copenhagen – Denmark	6023	0.0295 ^** (t = 2.196)	−0.0286900 ^** (t = −2.134)	−0.0294050 ^** (t = −2.188)	−0.0285388 ^** (t = −2.123)	−0.0293689 ^** (t = −2.185)	−0.0286922 ^** (t = −.2135)	0.6706	0.4907	1.644199 ^**
OMXHPI – OMX All-Share Helsinki - Finland	6737	−0.00173527 ^*** (t = −2.4188)	0.00165 ^** (t = 1.8740)	0.00196 ^** (t = 1.8028)	0.00256 (t = 0.2895)	0.00183 ^* (t = 1.400)	0.0022 (t = 0.1973)	0.0685	−0.1115	0.365847 ^*
OMXH25 – OMX HELSINKI 25 - Finland	7954	0.00067 (t = 0.1317)	−0.000679944 ^* (t = −1.866)	−0.000364358 (t = −0.2455)	0.00023 (t = 0.4946)	−0.000183178 (t = −0.4502)	−4.33138e-05 (t = −0.1493)	0.0541	−0.1258	0.001583
OMXIPI – OMX All-Share Reykjavik – Iceland	6737	0.00172 ^*** (t = 3.513)	−0.00240921 ^*** (t = −5.055)	−0.00150751 ^*** (t = −3.769)	−0.00106412 ^*** (t = −3.450)	−0.000763445 ^* (t = −1.883)	−0.000986440 ^*** (t = −2.870)	0.4257	0.2449	<0.0001 ^***
OBX – OSLO – Norway	5121	−0.0315254 (t = −.0,0312)	0.03168 ^*** (t = 3.3093)	0.03222 ^*** (t = 3.7840)	0.03259 ^*** (t = 3.3676)	0.0317 ^** (t = 2.0832)	0.03243 ^** (t = 2.0962)	0.5188	0.3396	0.031827 ^*
OSEAX – OSLO Børs All-Share – Norway	9305	0.01695 (t = 0.7229)	−0.0169607 ^*** (t = −3.1255)	−0.0163644 ^*** (t = −2.8047)	−0.0160213 ^*** (t = −3.6203)	−0.0168485 ^** (t = −2.6564)	−0.0159748 ^** (t = −2.6140)	0.2578	0.0782	0.061277 ^**
OMXS30 – OMX STOCKHOLM 30 - Sweden	8365	−0.0206415 ^*** (t = −2.4585)	0.02055 ^*** (t = 3.3173)	0.02103 ^*** (t = 3.2603)	0.02126 ^** (t = 2.1654)	0.0209 ^*** (t = 3.7251)	0.02161 ^*** (t = 3.1664)	0.2993	0.1197	0.033458 ^**
OMXSPI - Stockholm - Sweden	9239	−0.00917498 ^*** (t = −5.4412)	0.00911 ^*** (t = 3.6534)	0.0096 ^*** (t = 3.4262)	0.00992 ^** (t = 1.8090)	0.0095 ^** (t = 1.5332)	0.01021 ^*** (t = 2.7115)	0.161	−0.0188	0.070897 ^**

Statistics on the samples

	Pre-COVID-19 Period			COVID-19 Period
	Number of Observations	Mean Returns	Standard Deviation	Number of Observations	Mean Returns	Standard Deviation
OMXTGI. OMX TALLINN – Estonia	2776	0.000603	0.009463	258	0.000408	0.012807
OMXRGI. OMX RIGA – Latvia	2776	0.000561	0.012448	258	0.000584	0.015723
OMXVGI. OMX VILNIUS – Lithuania	2776	0.000543	0.008687	258	0.059855	1.064850
OMX BGI – Baltic Countries	8328	0.000569	0.010326	776	0.000549	0.013152
OMXN40 – Four Nordic countries: Denmark, Finland, Iceland, and Sweden	4573	0.000216	0.014102	262	0.000844	0.015689
OMXCPI – Copenhagen, Denmark	6023	0.000434	0.010654	260	0.001020	0.013617
OMXHPI – OMX All-Share – HELSINKI – Finland	8298	0.000740	0.036425	262	0.000625	0.016920
OMXH25 – OMX HELSINKI 25 - Finland	7952	0.000344	0.014269	262	0.000632	0.017543
OMXIPI – OMX All-Share - REYKJAVIK - Iceland	6732	0.000309	0.012496	259	0.001503	0.014045
OBX – OSLO Norway	5121	0.000467	0.014687	262	0.000408	0.017277
OSEAX – OSLO Børs All-Share Norway	9305	0.000542	0.012786	264	0.000411	0.017313
OMXS30 – OMX STOCKHOLM 30 - Sweden	8365	0.000417	0.014129	262	0.000623	0.017515
OMXSPI – STOCKHOLM – Sweden	9239	0.051219	0.878145	262	0.000817	0.017238

Difference between effects on markets taken into consideration

	Before COVID-19	COVID-19 Period	Result after Outburst
OMXTGI. OMX TALLINN – Estonia
Monday	−	−	No change
Tuesday	−	−	No change
Wednesday	−	−	No change
Thursday	−	−	No change
Friday	−	−	No change
OMXRGI. OMX RIGA – Latvia
Monday	−	−	No change
Tuesday	−	−	No change
Wednesday	−	−	No change
Thursday	−	−	No change
Friday	−	−	No change
OMXVGI. OMX VILNIUS – Lithuania
Monday	−	−	No change
Tuesday	−	−	No change
Wednesday	−	−	No change
Thursday	−	−	No change
Friday	−	−	No change
OMXBGI – BALTIC COUNTRIES
Monday	−	−	No change
Tuesday	−	−	No change
Wednesday	−	−	No change
Thursday	−	−	No change
Friday	−	−	No change
OMXN40 – Four NORDIC COUNTRIES - Denmark, Finland, Iceland, and Sweden
Monday	+	+	No change
Tuesday	+	+	No change
Wednesday	+	+	No change
Thursday	+	+	No change
Friday	+	+	No change
OMXCPI – COPENHAGEN – Denmark
Monday	+	−	Change
Tuesday	+	−	Change
Wednesday	+	−	Change
Thursday	+	−	Change
Friday	+	−	Change
OMXHPI – OMX ALL-SHARE HELSINKI – Finland
Monday	+	+	No change
Tuesday	+	+	No change
Wednesday	−	+	Change
Thursday	+	+	No change
Friday	−	+	Change
OMXH25 – OMX HELSINKI 25 – Finland
Monday	+	−	Change
Tuesday	−	−	No change
Wednesday	−	−	No change
Thursday	−	−	No change
Friday	−	−	No change
OMXIPI – OMX ALL-SHARE REYKJAVIK – Iceland
Monday	+	−	Change
Tuesday	+	−	Change
Wednesday	+	−	Change
Thursday	+	−	Change
Friday	+	−	Change
OBX – OSLO – Norway
Monday	+	+	No change
Tuesday	+	+	No change
Wednesday	+	+	No change
Thursday	+	+	No change
Friday	+	+	No change
OSEAX – OSLO Børs ALL-SHARE – Norway
Monday	+	−	Change
Tuesday	+	−	Change
Wednesday	+	−	Change
Thursday	+	−	Change
Friday	+	−	Change
OMXS30 – OMX STOCKHOLM 30 – Sweden
Monday	+	−	Change
Tuesday	+	−	Change
Wednesday	+	−	Change
Thursday	+	−	Change
Friday	+	−	Change
OMXSPI – STOCKHOLM – Sweden
Monday	+	+	No change
Tuesday	+	+	No change
Wednesday	+	+	No change
Thursday	+	+	No change
Friday	+	+	No change

DOI: https://doi.org/10.2478/ceej-2022-0010 | Journal eISSN: 2543-6821 | Journal ISSN: 2544-9001

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Language: English

Page range: 158 - 177

Published on: Jul 30, 2022

Published by: Faculty of Economic Sciences, University of Warsaw

In partnership with: Paradigm Publishing Services

Publication frequency: 1 times per year

Keywords:

COVID-19,

market efficiency,

day-of-a-week anomaly

Related subjects:

Business and economics,

Political economics,

Economic theory, systems and structures,

Microeconomics,

Macroeconomics,

Economic policy

© 2022 Monika Bolek, Agata Gniadkowska-Szymańska, Katerina Lyroudi, published by Faculty of Economic Sciences, University of Warsaw
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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