The resilience of cryptocurrency market efficiency to COVID-19 shock

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 constru...

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Detalles Bibliográficos
Autores principales: Fernandes, Leonardo H.S., Bouri, Elie, Silva, José W.L., Bejan, Lucian, de Araujo, Fernando H.A.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9527181/
https://www.ncbi.nlm.nih.gov/pubmed/36211219
http://dx.doi.org/10.1016/j.physa.2022.128218
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author Fernandes, Leonardo H.S.
Bouri, Elie
Silva, José W.L.
Bejan, Lucian
de Araujo, Fernando H.A.
author_facet Fernandes, Leonardo H.S.
Bouri, Elie
Silva, José W.L.
Bejan, Lucian
de Araujo, Fernando H.A.
author_sort Fernandes, Leonardo H.S.
collection PubMed
description 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.
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spelling pubmed-95271812022-10-03 The resilience of cryptocurrency market efficiency to COVID-19 shock Fernandes, Leonardo H.S. Bouri, Elie Silva, José W.L. Bejan, Lucian de Araujo, Fernando H.A. Physica A Article 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. Elsevier B.V. 2022-12-01 2022-10-03 /pmc/articles/PMC9527181/ /pubmed/36211219 http://dx.doi.org/10.1016/j.physa.2022.128218 Text en © 2022 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Fernandes, Leonardo H.S.
Bouri, Elie
Silva, José W.L.
Bejan, Lucian
de Araujo, Fernando H.A.
The resilience of cryptocurrency market efficiency to COVID-19 shock
title The resilience of cryptocurrency market efficiency to COVID-19 shock
title_full The resilience of cryptocurrency market efficiency to COVID-19 shock
title_fullStr The resilience of cryptocurrency market efficiency to COVID-19 shock
title_full_unstemmed The resilience of cryptocurrency market efficiency to COVID-19 shock
title_short The resilience of cryptocurrency market efficiency to COVID-19 shock
title_sort resilience of cryptocurrency market efficiency to covid-19 shock
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9527181/
https://www.ncbi.nlm.nih.gov/pubmed/36211219
http://dx.doi.org/10.1016/j.physa.2022.128218
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