Cryptocurrency Response to COVID-19: A Test of Efficient Market Hypothesis

Kar, Brajaballav; Das, Chandrabhanu

doi:10.1007/978-981-19-0357-1_2

Cited by 1 publication

(1 citation statement)

References 35 publications

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“…Related to our work must be mentioned the works by Beneki et al (2019), Katsiampa (2019), Mariana et al (2021) and Kar and Das (2022). Beneki et al (2019) examine the presence of volatility spillovers and hedging abilities between BTC and Ethereum.…”

Section: Literature Reviewmentioning

confidence: 99%

Long memory in Bitcoin and ether returns and volatility and Covid-19 pandemic

Castro

Ortiz

Cabello-Rosales

2022

SEF

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Purpose The purpose of this research is to analyze the Bitcoin (BTC) and Ether (ETH) long memory and conditional volatility. Design/methodology/approach The empirical approach includes ARFIMA-HYGARCH and ARFIMA-FIGARCH, both models under Student‘s t-distribution, during the period (ETH: November 9, 2017 to November 25, 2021 and BTC: September 17, 2014 to November 25, 2021). Findings Findings suggest that ARFIMA-HYGARCH is the best model to analyze BTC volatility, and ARFIMA-FIGARCH is the best approach to model ETH volatility. Empirical evidence also confirms the existence of long memory on returns and on BTC volatility parameters. Results evidence that the models proposed are not as suitable for modeling ETH volatility as they are for the BTC. Originality/value Findings allow to confirm the fractal market hypothesis in BTC market. The data confirm that, despite the impact of the Covid-19 crisis, the dynamics of BTC returns, and volatility maintained their patterns, i.e. the way in which they evolve, in relation to the prepandemic era, did not change, but it is rather reaffirmed. Yet, ETH conditional volatility was more affected, as it is apparently higher during Covid-19. The originality of the research lies in the focus of the analysis, the proposed methodology and the variables and periods of study.

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