2020
DOI: 10.1016/j.chaos.2020.109936
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The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets

Abstract: We explore the evolution of the informational efficiency in 45 cryptocurrency markets and 16 international stock markets before and during COVID-19 pandemic. The measures of Largest Lyapunov Exponent (LLE) based on the Rosenstein's method and Approximate Entropy (ApEn), which are robust to small samples, are applied to price time series in order to estimate degrees of stability and irregularity in cryptocurrency and international stock markets. The amount of regularity infers on the unpredictability of fluctua… Show more

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Cited by 176 publications
(137 citation statements)
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References 34 publications
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“… [29] , [30] use a value at risk measure to study safe havens in the cryptocurrency market. [31] uses existing metrics and tests (such as approximate entropy, Lyapunov Exponents, t-tests and F-tests) to study the predictability of price fluctuations. All these methods are well-studied in the existing finance literature.…”
Section: Introductionmentioning
confidence: 99%
See 1 more Smart Citation
“… [29] , [30] use a value at risk measure to study safe havens in the cryptocurrency market. [31] uses existing metrics and tests (such as approximate entropy, Lyapunov Exponents, t-tests and F-tests) to study the predictability of price fluctuations. All these methods are well-studied in the existing finance literature.…”
Section: Introductionmentioning
confidence: 99%
“…While [29] and [23] study the impact of COVID-19 on 3 and 5 cryptocurrencies, respectively, and [45] studies the structural breaks of 7 cryptocurrencies, we analyse the impact of COVID-19 on the extreme behaviour and structural breaks of 51 cryptocurrencies. While [24] , [25] , [26] , [27] , [29] , [30] , [31] have studied the financial impact of the COVID-19 pandemic with existing techniques, all our techniques are new. Finally, we develop a more general framework than that proposed by [32] .…”
Section: Introductionmentioning
confidence: 99%
“…Since the outbreak of the COVID-19 pandemic, various studies were conducted to investigate its effect on the economy, including its impact on the correlations between crude oil and agricultural futures [ 1 ], co-movement between COVID-19 and Bitcoin [ 2 ], the tourism industry [ 3 ], the covariance between temperature, COVID-19 and exchange rate in Wuhan [ 4 ], Italian manufacturing firms [ 5 ], B2B sales forces [ 6 ], efficiency of equity and cryptocurrency markets [ 7 ], airline employment [ 8 ], entrepreneurial uncertainty [ 9 ], consumer behavior [ 10 ], marketing innovations [ 11 ], corporate social responsibility and marketing [ 12 ], and randomness and mutual information between markets [ 13 ], to name few. In addition, other interesting studies focused on the forecasting of new cases [ 14 ] and knowledge sharing and collaboration for preparedness to fight the pandemics [ 15 ].…”
Section: Introductionmentioning
confidence: 99%
“…Recent research studies have emerged that involve the impact of COVID-19 on the financial market, including cryptocurrencies [1][2][3][4][5][6][7][8]. It was illustrated that Bitcoin is not a safe haven [1,2].…”
Section: Introductionmentioning
confidence: 99%
“…It was illustrated that Bitcoin is not a safe haven [1,2]. A correlation between Bitcoin and the stock market is observed in [3,4]. In [5], authors performed a dynamic correlation analysis that illustrated that Bitcoin could not hedge the US stocks' extraordinary tail risk.…”
Section: Introductionmentioning
confidence: 99%