Author(s): Lahmiri S; Bekiros S;

The main purpose of our paper is to evaluate the impact of the COVID-19 pandemic on randomness in volatility series of world major markets and to examine its effect on their interconnections. The data set includes equity (Bitcoin and Standard and Poor's 500), precious metals (Gold and Silver), and energy markets (West Texas Instruments, Brent, and Gas ...

Article GUID: 33286604

Author(s): Lahmiri S; Bekiros S;

The COVID-19 pandemic has seriously affected world economies. In this regard, it is expected that information level and sharing between equity, digital currency, and energy markets has been altered due to the pandemic outbreak. Specifically, the resulting twisted risk among markets is presumed to rise during the abnormal state of world economy. The purpos ...

Article GUID: 32834621

Author(s): Lahmiri S; Bekiros S;

We explore the evolution of the informational efficiency in 45 cryptocurrency markets and 16 international stock markets before and during COVID-19 pandemic. The measures of Largest Lyapunov Exponent (LLE) based on the Rosenstein's method and Approximate Entropy (ApEn), which are robust to small samples, are applied to price time series in order to es ...

Article GUID: 32501379