Asymmetric efficiency of cryptocurrencies during COVID19

Naeem, Muhammad Abubakr; Bouri, Elie; Peng, Zhe; Shahzad, Syed Jawad Hussain; Vo, Xuan Vinh

doi:10.1016/j.physa.2020.125562

Cited by 131 publications

(91 citation statements)

References 40 publications

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“…Notes 1. For recent research work on the impact of COVID-19 on corporate world, firms, financial assets, commodities, crypto currency, asset management, investment, bankruptcy and credit portfolios see, Mirza et al (2020aMirza et al ( , 2020bMirza et al ( , 2020c, Rizvi et al (2020aRizvi et al ( , 2020b, Yarovaya et al (2020aYarovaya et al ( , 2020b, Arif et al (2021), Farid et al (2021, Naeem et al (2021aNaeem et al ( , 2021b, Shahzad, Naeem et al (2021), Yarovaya et al (2021). 2.…”

Section: Conclusion and Policy Implicationsmentioning

confidence: 99%

COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China

Qureshi

2021

Economic Research-Ekonomska Istraživanja

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This study examines time-frequency connectedness between COVID-19 pandemic and economic indicators through a continuous wavelet transformation approach in the US and China. The study also assesses the dynamic conditional correlations (DCCs) between macroeconomic indicators and domestic sectoral returns during the pandemic. The findings display higher coherencies between COVID-19 and long-term predictive economic indicators in China compared to the US. Moreover, the results indicate that the stock market spillovers are more pronounced on domestic sectoral returns than other economic indicators during the COVID-19 outburst. Besides, the findings exhibit that exchange market instability has significant negative repercussions on the domestic sectors in China, however, weaker correlations are discerned between exchange market and domestic sectors in the US. The findings offer several policy implications and endorsements for portfolio managers, policymakers, practitioners, and other market participants.

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Section: Conclusion and Policy Implicationsmentioning

confidence: 99%

COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China

Qureshi

2021

Economic Research-Ekonomska Istraživanja

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“…These assets represent the leading cryptocurrency in the market. The market capitalization of Bitcoin, Ethereum, Litecoin, and Ripple represents more than 80% of the total market capitalization of all cryptocurrencies (Naeem et al 2021 ). The selected cryptocurrency assets, and especially Bitcoin, attract the attention of investors due to its innovative Blockchain technology and the significant opportunity to generate abnormal returns (Urqhuhart 2018 ; Yarovaya et al 2021 ).…”

Section: Methodsmentioning

confidence: 99%

High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

et al. 2021

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This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min—data. Empirical RWCC results indicate mostly positive co-movements and long-term memory between the cryptocurrencies, especially between Bitcoin, Ethereum, and Monero. The nonlinear Granger causality tests reveal dual causation between most of the cryptocurrency pairs. We advance evidence to improve portfolio risk assessment, and hedging strategies.

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“…Conversely, also considering hourly frequency, ref. [47] concludes that after COVID-19 there is a stronger degree of multifractality of bitcoin, ethereum, litecoin, and ripple, especially in upward trends.…”

Section: Literature Review: Multifractality In Cryptocurrenciesmentioning

confidence: 99%

Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis

2021

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Since its launch in 2009, bitcoin has thrived, attracting the attention of investors, regulators, academia, and the public in general. Its price dynamics, characterized by extreme volatility, severe jumps, and impressive long-term appreciation, suggest that bitcoin is a new digital asset. This study presents a comprehensive overview of the fractality of bitcoin in a high-frequency framework, namely by applying Multifractal Detrended Fluctuation Analysis (MF-DFA) and a Multifractal Regime Detecting Method (MRDM) to Bitstamp 1 min bitcoin returns from January 2013 to July 2020. The results suggest that bitcoin is multifractal, with smaller and larger fluctuations being persistent and anti-persistent, respectively. Multifractality comes from significant long-range correlations, which cast some doubts on the informational efficiency at this frequency, but mainly comes from fat-tails, which highlights the significant risks undertaken by investors in this market. Our most important result is that the degree and richness of multifractality is time-varying and increased after 2017, when volumes and prices experienced an explosive behaviour. This complexity puts into perspective the duality of bitcoin: while it is characterized by long-run attractiveness and increasing valuation, it also has a high short-run instability. Hence, this study provides some empirical evidence supporting the relationship between these two observable features.

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Asymmetric efficiency of cryptocurrencies during COVID19

Cited by 131 publications

References 40 publications

COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China

COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China

High frequency multiscale relationships among major cryptocurrencies: portfolio management implications

Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis

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