The resilience of cryptocurrency market efficiency to COVID-19 shock

被引：59

作者：

Fernandes, Leonardo H. S. ^{[1
]}

Bouri, Elie ^{[2
]}

Silva, Jose W. L. ^{[3
]}

Bejan, Lucian ^{[3
]}

de Araujo, Fernando H. A. ^{[4
]}

机构：

[1] Univ Fed Rural Pernambuco, Dept Econ & Informat, BR-56909535 Serra Talhada, PE, Brazil

[2] Lebanese Amer Univ, Sch Business, Beirut, Lebanon

[3] Univ Fed Rural Pernambuco, Dept Stat & Informat, BR-52171900 Recife, PE, Brazil

[4] Fed Inst Educ Sci & Technol Paraiba, Campus Patos,PB Acesso Rodovia PB 110 S-N, BR-58700030 Patos de Minas, PB, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2022年 / 607卷

关键词：

Cryptocurrencies; Price time series; COVID-19; Information theory quantifiers; Efficiency; BITCOIN;

D O I：

10.1016/j.physa.2022.128218

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页数：8

共 37 条

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