Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset
Abstract This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies. Specifically, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) were estimated before and during the COVID-19 pandemic. Then, we applied Student’s t...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2024-04-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-024-00628-0 |
| _version_ | 1827291406290386944 |
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| author | Salim Lahmiri |
| author_facet | Salim Lahmiri |
| author_sort | Salim Lahmiri |
| collection | DOAJ |
| description | Abstract This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies. Specifically, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) were estimated before and during the COVID-19 pandemic. Then, we applied Student’s t-test and F-test to check whether the estimated nonlinear features differ across periods. The empirical results show that (i) the COVID-19 pandemic has not affected the means of CD, LE, and AE in prices, (ii) the variances of CD, LE, and AE estimated from prices are different across pre-pandemic and during pandemic periods, and specifically (iii) the variance of CD decreased during the pandemic; however, the variance of LE and the variance of AE increased during the pandemic period. Furthermore, the pandemic has not affected all three features estimated from the volume series. Our findings suggest that investing in cryptocurrencies is advantageous during a pandemic because their prices become more regular and stable, and the latter has not affected the volume of transactions. |
| first_indexed | 2024-04-24T12:37:35Z |
| format | Article |
| id | doaj.art-b18c1a1c404c4ecc82b66cc3eb17613b |
| institution | Directory Open Access Journal |
| issn | 2199-4730 |
| language | English |
| last_indexed | 2024-04-24T12:37:35Z |
| publishDate | 2024-04-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj.art-b18c1a1c404c4ecc82b66cc3eb17613b2024-04-07T11:27:46ZengSpringerOpenFinancial Innovation2199-47302024-04-0110111210.1186/s40854-024-00628-0Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large datasetSalim Lahmiri0Department of Supply Chain and Business Technology Management, John Molson School of Business, Concordia UniversityAbstract This study examines the market efficiency in the prices and volumes of transactions of 41 cryptocurrencies. Specifically, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) were estimated before and during the COVID-19 pandemic. Then, we applied Student’s t-test and F-test to check whether the estimated nonlinear features differ across periods. The empirical results show that (i) the COVID-19 pandemic has not affected the means of CD, LE, and AE in prices, (ii) the variances of CD, LE, and AE estimated from prices are different across pre-pandemic and during pandemic periods, and specifically (iii) the variance of CD decreased during the pandemic; however, the variance of LE and the variance of AE increased during the pandemic period. Furthermore, the pandemic has not affected all three features estimated from the volume series. Our findings suggest that investing in cryptocurrencies is advantageous during a pandemic because their prices become more regular and stable, and the latter has not affected the volume of transactions.https://doi.org/10.1186/s40854-024-00628-0Market efficiencyCryptocurrency priceCryptocurrency volumeCOVID-19 pandemicCorrelation dimensionLyapunov exponent |
| spellingShingle | Salim Lahmiri Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset Financial Innovation Market efficiency Cryptocurrency price Cryptocurrency volume COVID-19 pandemic Correlation dimension Lyapunov exponent |
| title | Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset |
| title_full | Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset |
| title_fullStr | Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset |
| title_full_unstemmed | Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset |
| title_short | Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset |
| title_sort | assessing efficiency in prices and trading volumes of cryptocurrencies before and during the covid 19 pandemic with fractal chaos and randomness evidence from a large dataset |
| topic | Market efficiency Cryptocurrency price Cryptocurrency volume COVID-19 pandemic Correlation dimension Lyapunov exponent |
| url | https://doi.org/10.1186/s40854-024-00628-0 |
| work_keys_str_mv | AT salimlahmiri assessingefficiencyinpricesandtradingvolumesofcryptocurrenciesbeforeandduringthecovid19pandemicwithfractalchaosandrandomnessevidencefromalargedataset |