{"title":"Did cryptocurrencies exhibit log-periodic power law signature during the second wave of COVID-19?","authors":"Bikramaditya Ghosh, Spyros Papathanasiou, Georgios Pergeris","doi":"10.1111/ecno.12207","DOIUrl":null,"url":null,"abstract":"<p>Many studies have associated cryptocurrencies with bubbles, especially during stressed market conditions such as the recent outbreak of the second wave of COVID-19. Although the majority of studies have focused on Bitcoin, we investigate the predictability of bubble formation in the cryptocurrency market by using the log-periodic power law and we uncover some important stylized facts of this market. Our sample consists of data for a selection of 15 cryptocurrencies for the period between 1 January 2021 and 1 September 2021 which coincides with the second wave of COVID-19. We analyse 86 speculative bubbles, and we find that the cryptocurrency market has three times higher drawdown over equities during stressed market conditions.</p>","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/ecno.12207","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
Many studies have associated cryptocurrencies with bubbles, especially during stressed market conditions such as the recent outbreak of the second wave of COVID-19. Although the majority of studies have focused on Bitcoin, we investigate the predictability of bubble formation in the cryptocurrency market by using the log-periodic power law and we uncover some important stylized facts of this market. Our sample consists of data for a selection of 15 cryptocurrencies for the period between 1 January 2021 and 1 September 2021 which coincides with the second wave of COVID-19. We analyse 86 speculative bubbles, and we find that the cryptocurrency market has three times higher drawdown over equities during stressed market conditions.
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