The resilience of cryptocurrency market efficiency to COVID-19 shock

Leonardo H.S. Fernandes, Elie Bouri, José W.L. Silva, Lucian Bejan and Fernando H.A. de Araujo

Physica A: Statistical Mechanics and its Applications, 2022, vol. 607, issue C

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.

Keywords: Cryptocurrencies; Price time series; COVID-19; Information theory quantifiers; Efficiency (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007762

DOI: 10.1016/j.physa.2022.128218

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