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

【Author】 El Montasser, Ghassen; Charfeddine, Lanouar; Benhamed, Adel

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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 .

【Keywords】COVID-19 pandemic; Cryptocurrency bubbles; Mining and non-mining coins; Tokens; Dynamic market efficiency; Dynamic time warping and clustering

【发表时间】2022 MAY

【收录时间】2022-07-10

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-市场分析