Triangular arbitrage across forex and cryptocurrency markets during the COVID-19 crisis: a MRS-AR approach

Jianfeng Huang

Applied Economics Letters, 2022, vol. 29, issue 15, 1352-1357

Abstract: This article employs a Markovian regime-switching autoregressive approach to examine triangular arbitrage across forex and cryptocurrency markets during the coronavirus disease 2019 crisis. The findings suggest the following: (1) profitable triangular arbitrage tends to occur in the turbulent period during the crisis, significantly outperforming cryptocurrency investments; and (2) the persistent profitability of triangular arbitrage ensues from strong memory of high returns, low risk, and shock response to global quantitative monetary easing policy. Regulatory authorities should consolidate cryptocurrency supervision systems and establish cross-border coordination mechanisms to stabilize exchange rates and enhance market efficiency.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2021.1930998 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:29:y:2022:i:15:p:1352-1357

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2021.1930998

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().