COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis

This paper compares the degree of cryptocurrency market efficiency during the pre- and post COVID-19 pandemic with the bubble and non-bubble periods of cryptocurrency markets. Furthermore, it examines and clusters eighteen cryptocurrencies by exploring their market efficiency similarity. Comparing the cryptocurrency bubble periods with the COVID-19 pandemic, the results indicate that this pandemic has the highest impact on cryptocurrency market efficiency. Interestingly, using the dynamic time warping clustering approach, we found evidence on the presence of three clusters that essentially represent mining coins, non-mining coins and token categorizations .