Open Access Journal Article

Asymmetric efficiency of cryptocurrencies during the 2020 and 2022 events

by Mariana Chambino a,* orcid ,  Rui Manuel Teixeira Dias a, b orcid  and  Nicole Rebolo Horta a orcid
a
Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal
b
Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Évora, Portugal
*
Author to whom correspondence should be addressed.
EAL  2023, 22; 2(2), 22; https://doi.org/10.58567/eal02020004
Received: 20 March 2023 / Accepted: 14 May 2023 / Published Online: 21 May 2023
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Abstract

In this study, we examined the efficiency of cryptocurrencies Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), Ripple (XRP), DASH, EOS, and MONERO from March 1, 2018, to March 1, 2023. We separated the sample into four subperiods for this purpose: a Tranquil period that includes the period from March 1, 2018, to December 31, 2019; a First Wave that includes the year 2020; a Second Wave that includes the year 2021; and a fourth subperiod that includes Russia's invasion of Ukraine in 2022-2023. The results are mixed, with some cryptocurrencies exhibiting equilibrium and others exhibiting autocorrelation and predictability in their pricing. When the sample is divided into subperiods, most digital currencies have long memories in their returns during the Tranquil period, BTC, LTC, and XRP exhibit efficiency during the First Wave of the pandemic, while BTC, ETH, and MONERO indicate efficiency during the Second Wave. Most assessed digital currencies showed equilibrium by 2022, with the exception of ETH and MONERO, which exhibit long memories, and LTC, which demonstrates anti-persistence. These results hold significance for investors in these alternative markets, as they suggest that some cryptocurrencies may be more predictable and therefore potentially profitable, whereas others may require greater caution and risk management strategies.

Keywords: Cryptocurrencies; autocorrelation; detrended fluctuation analysis; efficiency;
Copyright: © 2023 by Chambino, Dias and Horta. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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ACS Style
Chambino, M.; Dias, R. M. T.; Horta, N. R. Asymmetric efficiency of cryptocurrencies during the 2020 and 2022 events. Economic Analysis Letters, 2023, 2, 22. https://doi.org/10.58567/eal02020004
AMA Style
Chambino M, Dias R M T, Horta N R. Asymmetric efficiency of cryptocurrencies during the 2020 and 2022 events. Economic Analysis Letters; 2023, 2(2):22. https://doi.org/10.58567/eal02020004
Chicago/Turabian Style
Chambino, Mariana; Dias, Rui M. T.; Horta, Nicole R. 2023. "Asymmetric efficiency of cryptocurrencies during the 2020 and 2022 events" Economic Analysis Letters 2, no.2:22. https://doi.org/10.58567/eal02020004
APA style
Chambino, M., Dias, R. M. T., & Horta, N. R. (2023). Asymmetric efficiency of cryptocurrencies during the 2020 and 2022 events. Economic Analysis Letters, 2(2), 22. https://doi.org/10.58567/eal02020004

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