PDF(Pubmed)
Abstract：
The COVID-19 pandemic has had an unprecedented impact on the global economy and financial markets. In this article, we explore the impact of the pandemic on the weak-form efficiency of the cryptocurrency and forex markets by conducting a comprehensive comparative analysis of the two markets. To estimate the weak-form of market efficiency, we utilize the asymmetric market deficiency measure (MDM) derived using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach, along with fuzzy entropy, Tsallis entropy, and Fisher information. Initially, we analyze the temporal evolution of these four measures using overlapping sliding windows. Subsequently, we assess both the mean value and variance of the distribution for each measure and currency in two distinct time periods: before and during the pandemic. Our findings reveal distinct shifts in efficiency before and during the COVID-19 pandemic. Specifically, there was a clear increase in the weak-form inefficiency of traditional currencies during the pandemic. Among cryptocurrencies, BTC stands out for its behavior, which resembles that of traditional currencies. Moreover, our results underscore the significant impact of COVID-19 on weak-form market efficiency during both upward and downward market movements. These findings could be useful for investors, portfolio managers, and policy makers.
摘要：
COVID-19大流行对全球经济和金融市场产生了前所未有的影响。在这篇文章中,我们通过对加密货币和外汇市场进行全面的比较分析，探讨大流行对加密货币和外汇市场弱式效率的影响。为了估计市场效率的弱形式，我们利用非对称多重分形去趋势波动分析(A-MF-DFA)方法得出的非对称市场缺陷测度(MDM)，连同模糊熵，Tsallis熵,和费雪信息。最初，我们使用重叠的滑动窗口分析了这四种措施的时间演变。随后，我们评估了在大流行之前和期间两个不同时间段内每个度量和货币的分布的均值和方差。我们的发现揭示了在COVID-19大流行之前和期间效率的明显变化。具体来说,在大流行期间，传统货币的弱势低效率明显增加。在加密货币中，BTC因其行为而脱颖而出，类似于传统货币。此外，我们的结果强调了COVID-19在向上和向下市场走势期间对弱势市场效率的重大影响。这些发现可能对投资者有用，投资组合经理，和政策制定者。
