The resilience of cryptocurrency market efficiency to COVID-19 shock
- Leonardo H S Fernandes,
- Lucian Bejan,
- José W L Silva,
- Elie Bouri,
- Fernando Henrique Antunes de Araujo
Leonardo H S Fernandes
Department of Economics and Informatics, Federal Rural University of Pernambuco
Lucian Bejan
Department of Statistics and Informatics, Federal Rural University of Pernambuco
José W L Silva
Department of Statistics and Informatics, Federal Rural University of Pernambuco
Elie Bouri
School of Business, Lebanese American University
Abstract
We examine the price disorder and market efficiency of five cryptocurrencies (Bitcoin, BNB, Cardano, Ethereum, and XRP) before and during COVID-19 pandemic period. Using permutation entropy and Fisher information measure (FIM), we construct the Shannon-Fisher causality plane (SFCP) to map these cryptocurrencies and their respective locations in a two-dimensional plane and then apply sliding time window approach to study the temporal evolution of efficiency. All cryptocurrencies exhibit high but slightly varying informational efficiency during both periods. Cardano is the most efficient. These results might point to the increasing maturity and lower potential for price predictability, which matter to cryp-tocurrencies usage for liquidity risk diversification strategy.
