The resilience of cryptocurrency market efficiency to COVID-19 shock

【Author】 Fernandes, Leonardo H. S.; Bouri, Elie; Silva, Jose W. L.; Bejan, Lucian; de Araujo, Fernando H. A.

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】We examine the price disorder and informational efficiency of five cryptocurrencies (Bitcoin, BNB, Cardano, Ethereum, and XRP) before and during the COVID-19 pandemic. In this sense, we estimate the permutation entropy and Fisher information measure (FIM). We use these complexity measures to construct the Shannon-Fisher causality plane (SFCP) to map these cryptocurrencies and their respective locations in a two-dimensional plane and then apply the sliding time window approach to study the temporal evolution of informational efficiency. All cryptocurrencies exhibit high but slightly varying informational efficiency during both periods. Cardano was the most efficient cryptocurrency. These results might point to the increasing maturity and lower potential for price predictability, which matter to cryptocurrencies' usage for liquidity risk diversification strategy. (c) 2022 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrencies; Price time series; COVID-19; Information theory quantifiers; Efficiency

【发表时间】2022 DEC 1

【收录时间】2023-02-28

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-数字货币