用分形、混沌和随机性评估 COVID-19 大流行之前和期间加密货币价格和交易量的效率:来自大型数据集的证据

IF 6.9 1区 经济学 Q1 BUSINESS, FINANCE Financial Innovation Pub Date : 2024-04-05 DOI:10.1186/s40854-024-00628-0
Salim Lahmiri
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引用次数: 0

摘要

本研究考察了 41 种加密货币的交易价格和交易量的市场效率。具体来说,在 COVID-19 大流行之前和期间,我们估算了相关维度(CD)、Lyapunov 指数(LE)和近似熵(AE)。然后,我们采用学生 t 检验和 F 检验来检验估计的非线性特征在不同时期是否存在差异。实证结果表明:(i) COVID-19 大流行并没有影响价格中 CD、LE 和 AE 的均值;(ii) 根据价格估计的 CD、LE 和 AE 的方差在大流行前和大流行期间是不同的;特别是 (iii) CD 的方差在大流行期间减小了;然而,LE 的方差和 AE 的方差在大流行期间增大了。此外,大流行并没有影响根据交易量序列估计的所有三个特征。我们的研究结果表明,在大流行期间投资加密货币是有利的,因为其价格变得更加有规律和稳定,而后者并没有影响交易量。
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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
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.
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来源期刊
Financial Innovation
Financial Innovation Economics, Econometrics and Finance-Finance
CiteScore
11.40
自引率
11.90%
发文量
95
审稿时长
5 weeks
期刊介绍: Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.
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