COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis
| Author | Montasser, Ghassen El |
| Author | Charfeddine, Lanouar |
| Author | Benhamed, Adel |
| Available date | 2022-12-27T08:14:13Z |
| Publication Date | 2022 |
| Publication Name | Finance Research Letters |
| Resource | Scopus |
| 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 |
| Sponsor | The 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). |
| Language | en |
| Publisher | Elsevier |
| Subject | COVID-19 pandemic Cryptocurrency bubbles Dynamic market efficiency Dynamic time warping and clustering Mining and non-mining coins Tokens |
| Type | Article |
| Volume Number | 46 |
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COVID-19 Research [786 items ]
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Finance & Economics [390 items ]