{"title":"在第二波新冠肺炎疫情期间，加密货币是否表现出对数周期幂律特征？","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":44298,"journal":{"name":"Economic Notes","volume":"51 3","pages":""},"PeriodicalIF":0.8000,"publicationDate":"2022-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"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\":44298,\"journal\":{\"name\":\"Economic Notes\",\"volume\":\"51 3\",\"pages\":\"\"},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2022-09-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Notes\",\"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\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Notes","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":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
Did cryptocurrencies exhibit log-periodic power law signature during the second wave of COVID-19?
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.
期刊介绍：
With articles that deal with the latest issues in banking, finance and monetary economics internationally, Economic Notes is an essential resource for anyone in the industry, helping you keep abreast of the latest developments in the field. Articles are written by top economists and executives working in financial institutions, firms and the public sector.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
