在第二波COVID - 19期间，加密货币是否表现出对数周期幂律特征?

IF 0.8 Q3 ECONOMICS

Economic Notes Pub Date : 2022-09-21 DOI:10.1111/ecno.12207

Bikramaditya Ghosh, Spyros Papathanasiou, Georgios Pergeris

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引用次数: 2

摘要

许多研究将加密货币与泡沫联系起来，特别是在市场紧张的情况下，比如最近爆发的第二波COVID-19。尽管大多数研究都集中在比特币上，但我们通过使用对数周期幂律来研究加密货币市场中泡沫形成的可预测性，并揭示了该市场的一些重要风格化事实。我们的样本包括2021年1月1日至2021年9月1日期间精选的15种加密货币的数据，这段时间恰逢第二波COVID-19。我们分析了86个投机泡沫，发现在市场紧张的情况下，加密货币市场的跌幅是股市的三倍。©2022 Banca Monte dei Paschi di Siena SpA

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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. © 2022 Banca Monte dei Paschi di Siena SpA.

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来源期刊

Economic Notes ECONOMICS-

CiteScore

3.30

自引率

6.70%

发文量

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.