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

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

Abstract

This paper compares the degree of cryptocurrency market efficiency during the pre- and post COVID-19 pandemic with the bubble and non-bubble periods of cryptocurrency markets. Furthermore, it examines and clusters eighteen cryptocurrencies by exploring their market efficiency similarity. Comparing the cryptocurrency bubble periods with the COVID-19 pandemic, the results indicate that this pandemic has the highest impact on cryptocurrency market efficiency. Interestingly, using the dynamic time warping clustering approach, we found evidence on the presence of three clusters that essentially represent mining coins, non-mining coins and token categorizations .

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  • Montasser, Ghassen El & Charfeddine, Lanouar & Benhamed, Adel, 2022. "COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003652
    DOI: 10.1016/j.frl.2021.102362
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    References listed on IDEAS

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    Cited by:

    1. Shafiqah Azman & Dharini Pathmanathan & Aerambamoorthy Thavaneswaran, 2022. "Forecasting the Volatility of Cryptocurrencies in the Presence of COVID-19 with the State Space Model and Kalman Filter," Mathematics, MDPI, vol. 10(17), pages 1-15, September.

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