Impact of the COVID-19 Pandemic on the Financial Market Efficiency of Price Returns, Absolute Returns, and Volatility Increment: Evidence from Stock and Cryptocurrency Markets
Abstract
:1. Introduction
2. Data
3. Methodology
3.1. MFDFA
3.2. Market Efficiency Measurement by GHE
4. Empirical Results
5. Discussion and Conclusions
Funding
Data Availability Statement
Acknowledgments
Conflicts of Interest
References
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Mean | Variance | Kurtosis | Skewness | ||
---|---|---|---|---|---|
(a) | DAX | 8.3(1.6) | −0.28(14) | ||
Nikkei 225 | 8.6(2.3) | −0.3(1) | |||
SSE | |||||
VIX | 9(2) | 0.96(20) | |||
Bitcoin | 16(10) | −0.80(75) | |||
Ethereum | |||||
(b) | DAX | 14(3) | 2.6(3) | ||
Nikkei 225 | 17(6) | 2.7(7) | |||
SSE | 13(1) | 2.6(1) | |||
VIX | 20(6) | 2.8(4) | |||
Bitcoin | 33(24) | 3.4(1.2) | |||
Ethereum | 24(14) | ||||
(c) | DAX | 2.6(1) | 4.36(18) | ||
Nikkei 225 | 2.70(7) | 4.6(1) | |||
SSE | 2.95(11) | 4.4(3) | |||
VIX | 3.9(1) | ||||
Bitcoin | 2.86(7) | 4.2(3) | |||
Ethereum | 2.6(1) | 3.58(17) |
Period | Bitcoin | Ethereum |
---|---|---|
1 January 2017–31 December 2019 (before COVID-19) | 0.578 | 0.605 |
1 January2020–30 December 2020 (during COVID-19) | 0.493 | 0.561 |
DAX | Nikkei 225 | SSE | VIX | Bitcoin | Ethereum | |
---|---|---|---|---|---|---|
Returns | negative | ◯ | × | positive | × | × |
Returns | ◯ | ◯ | negative | positive | negative | negative |
AR | negative | negative | negative | negative | × | × |
AR | ◯ | negative | ∆ | positive | ∆ | negative |
VI | × | × | × | × | × | × |
VI | × | × | × | × | × | × |
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Takaishi, T. Impact of the COVID-19 Pandemic on the Financial Market Efficiency of Price Returns, Absolute Returns, and Volatility Increment: Evidence from Stock and Cryptocurrency Markets. J. Risk Financial Manag. 2025, 18, 237. https://doi.org/10.3390/jrfm18050237
Takaishi T. Impact of the COVID-19 Pandemic on the Financial Market Efficiency of Price Returns, Absolute Returns, and Volatility Increment: Evidence from Stock and Cryptocurrency Markets. Journal of Risk and Financial Management. 2025; 18(5):237. https://doi.org/10.3390/jrfm18050237
Chicago/Turabian StyleTakaishi, Tetsuya. 2025. "Impact of the COVID-19 Pandemic on the Financial Market Efficiency of Price Returns, Absolute Returns, and Volatility Increment: Evidence from Stock and Cryptocurrency Markets" Journal of Risk and Financial Management 18, no. 5: 237. https://doi.org/10.3390/jrfm18050237
APA StyleTakaishi, T. (2025). Impact of the COVID-19 Pandemic on the Financial Market Efficiency of Price Returns, Absolute Returns, and Volatility Increment: Evidence from Stock and Cryptocurrency Markets. Journal of Risk and Financial Management, 18(5), 237. https://doi.org/10.3390/jrfm18050237