ISLAMIC, GREEN, AND CONVENTIONAL CRYPTOCURRENCY MARKET EFFICIENCY DURING THE COVID-19 PANDEMIC

Emna Mnif () and Anis Jarboui ()
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Emna Mnif: Sfax University, Tunisia
Anis Jarboui: Sfax University, Tunisia

Journal of Islamic Monetary Economics and Finance, 2021, vol. 7, issue Special Issue, 167-184

Abstract: Unlike conventional cryptocurrencies, Islamic ones are new technologies backed by tangible assets and are characterised by their fundamental values. After the COVID-19 outbreak, cryptocurrency responses have shown different behaviour to stock market reactions. However, there is a lack of studies on the efficiency of Islamic and green cryptocurrencies during the pandemic. This paper attempts to analyse the behaviour of three typical families of cryptocurrencies (conventional, Islamic, and green) extracted according to their availability in daily frequencies during COVID-19. For this purpose, their efficiency levels are studied before and after the outbreak by employing multifractal detrended fluctuation analysis (MFDFA) to make the best predictions and strategies. The inefficiency of the cryptocurrencies is assessed through a magnitude of long-memory (MLM) efficiency index, and the impact of COVID-19 on their efficiency is evaluated. The primary results show that HelloGold was the most efficient market before the COVID-19 outbreak and that subsequently Ethereum has been the most efficient. In addition, the findings reveal that the cryptocurrency reactions are not similar and show more resilience in the Ethereum and Litecoin markets than in other cryptocurrency markets. The main contribution of this study is the evaluation of the impact of COVID-19 on the various classes of crypto money. This work has practical implications, as it provides new insights into trading opportunities and market reactions. Moreover, the work has theoretical implications based on its evaluation of three distinct models from different doctrine viewpoints.

Keywords: Islamic cryptocurrencies; Covid-19; Efficiency; MFDFA (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:idn:jimfjn:v:7:y:2021:i:sif:p:167-184

DOI: 10.21098/jimf.v7i0.1315

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