The resilience of cryptocurrency market efficiency to COVID-19 shock

Fernandes, Leonardo H.S.; Bouri, Elie; Silva, José W L; Bejan, Lucian; Araujo, Fernando Henrique Antunes de

doi:10.1016/j.physa.2022.128218

Cited by 59 publications

(19 citation statements)

References 39 publications

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“…Our empirical evidence clarifies the real potential of the cryptocurrencies to mitigate exogenous shocks [22] and their capability to use with portfolio selection [35], risk diversification [45], and herding behaviour [46] for the most diversified agents profile in the financial market.…”

Section: Discussionmentioning

confidence: 52%

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Assessment the Predictability in the Price Dynamics for the Top 10 Cryptocurrencies: The Impacts of Russia–ukraine War

et al. 2023

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This paper has investigated the predictability of the top ten cryptocurrencies' price dynamics, ranked by their daily market capitalization and trade volume, via the information theory quantifiers. Our analysis considers the Complexity-entropy causality plane to study the temporal evolution of the price of these cryptocurrencies and their respective locations along this 2D map, bearing in mind after and during the Russia-Ukraine war. Moreover, we apply the permutation entropy and the Jensen-Shannon statistical complexity measure to rank these cryptocurrencies similarly to a complexity hierarchy. Our findings reflect that the Russian-Ukraine war affects the informational efficiency of cryptocurrency dynamics. Specifically, the cryptocurrencies notably showed a decrease in informational inefficiency (USD-coin, Binance-USD, BNB, Dogecoin, and XRP). At the same time, the cryptocurrencies with more expressiveness for the financial market, considering the volume traded and the capitalized market, were strongly impacted, presenting an increase in informational inefficiency (Tether, Cardano, Ethereum, and Bitcoin). It clarifies the potential of cryptocurrencies to mitigate exogenous shocks and their capability to use with portfolio selection, risk diversification and herding behaviour.

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Section: Discussionmentioning

confidence: 52%

“…Several papers have employed different techniques to rank market efficiency in a variety of markets ( [5], [8], [9], [39], [37], [36], [22], [33], [30], and [43]). In line with these papers, our results suggest that the cryptocurrency market is constantly evolving and exogenous shocks cause changes in the dynamics of these prices.…”

Section: Introductionmentioning

confidence: 99%

Assessment the Predictability in the Price Dynamics for the Top 10 Cryptocurrencies: The Impacts of Russia–ukraine War

et al. 2023

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“…Other articles by the authors, see: [23,24,25,26,27,28,29,30,31,32,33,34,35,36,37,38,39,40,41,42,43,44,45,46]…”

Section: Discussionmentioning

confidence: 99%

The synergic interplay between entropy, predictability, and informational efficiency of the Shanghai sectoral index

Fernandes¹,

Araujo

Silva³

et al. 2023

Preprint

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We explore the synergic interplay between entropy (disorder), predictability, and informational efficiency of the daily closing price time series of 13 sectoral economics components of the Shanghai index letter considering three non-overlapping periods (before and during COVID-19 and Russia-Ukraine war). Our findings reveal that the telecom services, financials, and consumer discretionary sectors are marked by higher informational efficiency. Otherwise, the industrials, utilities, and transportation sectors exhibit lower informational efficiency. These insights are relevant for financial agents to make informed decisions, manage risk, and seek opportunities in an ever-changing market environment.

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“…Havidz et al ( 2022a ) uncovered that the COVID-19 cumulative positive cases had positive but insignificant effects on Bitcoin returns. Additionally, Vukovic et al ( 2021 ) discovered that the COVID-19 crisis had no statistically significant direct impact on the cryptocurrency market during the initial wave, and Fernandes et al ( 2022 ) demonstrated that cryptocurrencies displayed significantly stable price dynamics both before and during the pandemic. Furthermore, Fareed et al ( 2022 ), among other studies, reported a nonlinear relationship between COVID-19 and Bitcoin.…”

Section: Prior Literaturementioning

confidence: 99%

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Gherghina

Simionescu

2023

Financ Innov

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This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment, Infodemic, and Media Coverage), on the cryptocurrency market. Using daily data from January 2020 to September 2021 and the exponential generalized autoregressive conditional heteroskedasticity model, the results revealed that both adverse and optimistic news had the same effect on Bitcoin returns, indicating fear of missing out behavior does not prevail. Furthermore, when the nonlinear autoregressive distributed lag model is estimated, both positive and negative shocks in pandemic indices promote Bitcoin’s daily changes; thus, Bitcoin is resistant to the SARS-CoV-2 pandemic crisis and may serve as a hedge during market turmoil. The analysis of frequency domain causality supports a unidirectional causality running from the Coronavirus Fake News Index and Sentiment Index to Bitcoin returns, whereas daily fluctuations in the Bitcoin price Granger affect the Coronavirus Panic Index and the Hype Index. These findings may have significant policy implications for investors and governments because they highlight the importance of news during turbulent times. The empirical results indicate that pandemic news could significantly influence Bitcoin’s price.

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The resilience of cryptocurrency market efficiency to COVID-19 shock

Cited by 59 publications

References 39 publications

Assessment the Predictability in the Price Dynamics for the Top 10 Cryptocurrencies: The Impacts of Russia–ukraine War

Assessment the Predictability in the Price Dynamics for the Top 10 Cryptocurrencies: The Impacts of Russia–ukraine War

The synergic interplay between entropy, predictability, and informational efficiency of the Shanghai sectoral index

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

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