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

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    1-s2.0-S1544612321003652-main.pdf (1.435Mb)
    Date
    2022
    Author
    Montasser, Ghassen El
    Charfeddine, Lanouar
    Benhamed, Adel
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    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. 2021
    DOI/handle
    http://dx.doi.org/10.1016/j.frl.2021.102362
    http://hdl.handle.net/10576/37625
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    • COVID-19 Research [‎848‎ items ]
    • Finance & Economics [‎437‎ items ]

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