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

Monika Bolek
Monika Bolek
, 
Agata Gniadkowska-Szymańska
Agata Gniadkowska-Szymańska
 oraz 
Katerina Lyroudi
Katerina Lyroudi
   | 30 lip 2022
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Data publikacji: 30 lip 2022
Zakres stron: 158 - 177
DOI: https://doi.org/10.2478/ceej-2022-0010
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© 2022 Monika Bolek et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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
eISSN:
2543-6821
Język:
Angielski
Częstotliwość wydawania:
Volume Open
Dziedziny czasopisma:
Business and Economics, Political Economics, Economic Theory, Systems and Structures, Microeconomics, Macroecomics, Economic Policy
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