An ESILV professor, Matthieu Garcin, is at the origin of two new studies focusing on the impact of COVID-19 on stock markets and the effects of the crisis on market efficiency. In these studies, Matthieu Garcin and his co-authors propose a new outlook on this ﬁnancial crisis and an original method, outlining the chronology of the crisis and the daily variations in market efficiency.
“We apply our new method to several stock indices before and during the financial crisis induced by the COVID-19 in the US, in Europe, and in Asia. This makes it possible to determine the interval of dates for which the distribution of price returns significantly indicates a financial crisis. In particular, we observe that the speed at which markets recover varies a lot among the regions considered.” (Matthieu Garcin, Jules Klein, Sana Laaribi)
“The application to stock indices during the COVID-19 crisis shows a strong loss of eﬃciency for US indices. On the opposite, Asian and Australian indices seem less aﬀected, and the ineﬃciency of these markets during the COVID-19 crisis is even questionable.” (Matthieu Garcin, Ayoub Ammy-Driss)