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AuthorMontasser, Ghassen El
AuthorCharfeddine, Lanouar
AuthorBenhamed, Adel
Available date2022-12-27T08:14:13Z
Publication Date2022
Publication NameFinance Research Letters
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.frl.2021.102362
URIhttp://hdl.handle.net/10576/37625
AbstractThis 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
SponsorThe second author would like to thank the financial support of QNRF under the grant number NPRP11C-1229-170007 from the Qatar National Research Fund (a member of Qatar foundation). The statements made herein are solely the responsibility of the author(s).
Languageen
PublisherElsevier
SubjectCOVID-19 pandemic
Cryptocurrency bubbles
Dynamic market efficiency
Dynamic time warping and clustering
Mining and non-mining coins
Tokens
TitleCOVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis
TypeArticle
Volume Number46
dc.accessType Open Access


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