The impact of COVID-19 on Ethereum returns and Ethereum market efficiency

IF 2.5 Q2 ECONOMICS

Eurasian Economic Review Pub Date : 2024-05-31 DOI:10.1007/s40822-024-00273-z

Naseem Al Rahahleh, Ahmed Al Qurashi

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Abstract

This paper aims to identify herding biases and assess the inefficiency of Ethereum using an inefficiency index (MLM). Additionally, it investigates the nonlinear dynamical properties of Ethereum by estimating the MFDFA, aiming to deduce the impact of COVID-19 on Ethereum’s performance. The paper also captures abnormal changes resulting from COVID-19-related events and assesses their influence on the Ethereum market response.

The empirical results show that Ethereum was multifractal before the pandemic and became less fractal in the period following the outbreak using Generalized Hurst Exponent (GHE) estimation. Based on the MLM measure of efficiency, we found Ethereum to be more efficient in the first phase of the pandemic than before it, and as in the Hausdorff topology, the pandemic reduced herd bias. The event study analysis took into account specific events related to the pandemic and showed that each led to significant abnormal returns in the Ethereum market. The results reported are used to empirically establish differences in the value of Ethereum before and during the COVID-19 pandemic. The results are useful in a general sense for traders, investors, and policy makers because they provide new information about market trading opportunities and social responses.

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COVID-19 对以太坊回报和以太坊市场效率的影响

本文旨在识别羊群偏差，并使用低效率指数（MLM）评估以太坊的低效率。此外，本文还通过估计 MFDFA 来研究以太坊的非线性动态特性，旨在推断 COVID-19 对以太坊性能的影响。实证结果表明，使用广义赫斯特指数（GHE）估计，以太坊在大流行之前是多分形的，而在疫情爆发后变得不那么分形。根据 MLM 的效率衡量标准，我们发现以太坊在大流行的第一阶段比之前更有效率，而且与 Hausdorff 拓扑一样，大流行减少了群体偏差。事件研究分析考虑了与大流行病相关的特定事件，结果表明每个事件都会导致以太坊市场出现显著的异常回报。所报告的结果用于根据经验确定 COVID-19 大流行之前和期间以太坊价值的差异。从一般意义上讲，这些结果对交易者、投资者和政策制定者都很有用，因为它们提供了有关市场交易机会和社会反应的新信息。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Eurasian Economic Review ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

期刊介绍： The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics. Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.