Have the extraordinary circumstances of the COVID-19 outbreak and the Russian-Ukrainian conflict impacted the efficiency of cryptocurrencies?  

作　　者：Aktham Maghyereh Mohammad Al-Shboul 

机构地区：[1]Department of Accounting and Finance,United Arab Emirates University,Al-Ain,United Arab Emirates [2]Department of Finance and Economics,University of Sharjah,Sharjah,United Arab Emirates

出　　处：《Financial Innovation》2024年第1期4003-4030,共28页金融创新(英文)

摘　　要：This study explores whether the COVID-19 outbreak and Russian-Ukrainian(R-U)conflict have impacted the efficiency of cryptocurrencies.The novelty of this study is the use of the Cramér-von Mises test to examine cryptocurrency efficiency.We used a sample of daily prices for the six largest cryptocurrencies,covering the period from September 11,2017,to September 30,2022.Cryptocurrencies are found to be weakly efficient but exhibit heterogeneous levels of efficiency across currencies.Extraordinary events(COVID-19 and R-U)play a vital role in the degree of efficiency,where a trend toward inefficiency appears in all cryptocurrencies except for Ethereum Classic and Ripple.During the COVID-19 pandemic,the degree of inefficiency was higher than the level of inefficiency during R-U.This study provides useful guidance for investors and portfolio diversifiers to adjust their asset allocations during normal and stressful market periods.

关 键 词：Cryptocurrencies EFFICIENCY Cramer-von Mises test COVID-19 Russian-Ukrainian war 

分 类 号：F42[经济管理—产业经济]