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Abstract
The COVID-19 pandemic disrupted global financial markets, prompting scrutiny of their efficiency under external shocks. This study examines the pandemic’s impact on the weak-form Efficient Market Hypothesis (EMH) in the Dar es Salaam Stock Exchange (DSE) using monthly Dar es Salaam Stock Exchange Index (DSEI) price returns from June 2015 to November 2024. Monthly data were selected to capture long-term trends, as short-term volatility was less pronounced in Tanzania’s less liquid market. Descriptive statistics, Augmented Dickey-Fuller (ADF) tests, paired t-tests, autocorrelation analysis, and Chow tests assessed return behaviour and market efficiency. Results show a shift from negative (-0.004%) to positive (0.002%) mean returns post-COVID, reduced volatility (standard deviation from 0.042% to 0.034%), and lower skewness (from 0.912% to 0.175%), indicating market stabilization. Price returns were stationary (ADF p=0.000) and exhibited no significant autocorrelation, confirming random walk behavior and weak-form efficiency in both periods. No significant differences in mean returns (t-test p=0.423) or structural breaks (Chow test p=0.419) were detected, suggesting temporary disruptions with rapid recovery. Alternative structural break tests (e.g., Bai-Perron) were not employed, as the Chow test sufficed given the single hypothesized break at the pandemic’s onset. Tanzania’s minimal lockdown policies likely aided DSE resilience. Policymakers should enhance market transparency to sustain efficiency during crises.