COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis

Montasser, Ghassen El; Charfeddine, Lanouar; Benhamed, Adel

doi:10.1016/j.frl.2021.102362

Cited by 50 publications

(25 citation statements)

References 20 publications

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“…Recently, Akhtaruzzaman et al (2021) argue that the COVID–19 media coverage index affects the volatility of environmental, social, and governance (ESG) leader indices from advanced and emerging equity markets. The COVID-19 pandemic has also affected the cryptocurrency market efficiency, as claimed by Ali et al, 2020 , El Montasser et al, 2021 , and Wang and Wang (2021) .…”

Section: Literature Reviewmentioning

confidence: 95%

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

Youssef

Waked

2022

The North American Journal of Economics and Finance

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Section: Literature Reviewmentioning

confidence: 95%

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

Youssef

Waked

2022

The North American Journal of Economics and Finance

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“…This response has been justified by Wang and Wang (2021), who found that the inefficiency of gold, SP500 index, Bitcoin and USD dollar increased after the COVID-19 spread. In the same way, Montasser et al (2022) have examined the efficiency of 18 cryptocurrency markets and showed that the COVID-19 pandemic significantly affects their behavior. Several studies have explained this fact through behavioral biases (Shrotryia and Kalra, 2021;Mnif and Jarboui, 2021;Shrotryia and Kalra, 2021).…”

Section: Introductionmentioning

confidence: 99%

“…On the other side, several studies have explored the repercussion of this pandemic on stock markets (Zhang et al, 2020;Ali et al, 2020). The third strand of studies has investigated cryptocurrency market response by exploring their stability (Lahmiri and Bekiros, 2020), efficiency (Mnif and Jarboui, 2021) and bubbles (Montasser et al, 2022;Apergis, 2021;Assaf et al, 2021;Maouchi et al, 2021) during the COVID-19 pandemic. Our study belongs to this stream of research as it treats speculative assets with high vulnerability to such events.…”

Section: Introductionmentioning

confidence: 99%

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Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic

Mnif

Salhi

Mouakhar

et al. 2022

RBF

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PurposeCryptocurrencies lack fundamental values and are often subject to behavioral bias leading to market bubbles. This study aims to investigate the contribution of the coronavirus pandemic to the creation of market bubbles.Design/methodology/approachThis study identifies four major cryptocurrency market bubbles by using the Phillips et al. (2016) (hereafter PSY) test. Subsequently, the co-movements of the coronavirus proxies with PSY measurement using the wavelet approach were studied.FindingsShort-lived bubbles are detected at the beginning of the studied period, and more extended bubble periods are identified at the end. Besides, the empirical results show evidence of significant negative co-movement between each pandemic proxy and each cryptocurrency bubble measurement.Research limitations/implicationsGiven the complex financial dynamics of the cryptocurrency markets due to some behavioral biases in some circumstances, investors can benefit from the date stamping of the bubbles bursting to make the best trading positions. In the same way, governments could support the healthy development of cryptocurrencies by preventing bubbles during such pandemics.Originality/valueThe financial bubble is commonly attributed to a change in investor behavior. Because traders and investors think they can resell the asset at a higher price in the future. This study explored the contribution of the COVID-19 pandemic in the creation of these bubbles by date stamping their occurrence and explosive periods. To the best of the authors’ knowledge, this study is the first attempt that explores the contribution of the COVID-19 pandemic to the creation of bubbles caused by a change in the investors’ behavior.

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“…In terms of finance and capital markets, researches have been performed to study the link between COVID-19 pandemic and financial aspects in the scope of banking [5][6][7][8][9], cryptocurrency [10][11][12][13][14][15][16], exchange rates [17][18], financial system [19], insurance [20], interest rates [21] and equity markets . In case of equity markets, the effects of COVID-19 outbreak has been investigated on the return [27-28, 41-43, 46] and volatility [26,32,[42][43][44] of the market in developed [22,29] and developing [39,45] economies.…”

Section: Introductionmentioning

confidence: 99%

COVID-19: A Game-changer to Equity Markets?

Golmohammadi

Fazelabdolabadi²

2021

J. Hum. Earth Future

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This article applies the effective transfer entropy methodology to quantify the information flow between equities in major global equity markets in Australia, Brazil, Canada, China, Germany, Iran, Japan, Qatar, Saudi Arabia, South Africa, South Korea, United Kingdom, and the United States – a pool of 2200 companies included. To account for COVID-19 impacts, the period of the study was extended over two years. The results show changes to the information flow pattern after COVID-19, with the largest changes being encountered in Australia, Brazil, Canada, Japan, and the United States – for their largest market participants (by market capitalization). In comparison, the Asian markets show less noticeable changes in their information flow pattern after COVID-19. On a sector level, most of the markets studied have seen substantial changes in the functionality of their sectors – in terms of being a transmitter or receiver of information – after COVID-19 appearance. The fraction of sectors with a complete change in their influencing role since COVID-19 has been over 70% in Australia, Canada, South Africa, and the United States. The financial services sector has retained its role - as being the most influencing sector - in 6 out of 13 markets considered after COVID-19. For most of the markets, the basic materials, communications, energy, and utilities sectors have retained an intermediate position in the information flow diagram, after COVID-19. The German market has been the only market, in which the main information transmitter and receiver sectors have remained unchanged, since COVID-19. The results suggest drastic moves in major global equity markets, which have been concurrent with the virus outbreak. Doi: 10.28991/HEF-2021-02-01-05 Full Text: PDF

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COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis

Cited by 50 publications

References 20 publications

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic

COVID-19: A Game-changer to Equity Markets?

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