Bitcoin market efficiency analysis pre- and post-COVID-19 pandemic : an interrupted time series and ARIMAX approach

The COVID-19 pandemic constitutes one of the most significant exogenous shocks to global financial markets in recent history, raising questions about the robustness of market efficiency under extreme uncertainty. This study examines whether the pandemic affected the weak-form efficiency of the Bitcoin market or merely heightened volatility without introducing return predictability. Using daily Bitcoin log returns from January 2013 to February 2026, the analysis first evaluates weak-form market efficiency through the Variance Ratio (VR) test. The VR statistics remain close to unity across multiple holding horizons, and the null hypothesis of a random walk cannot be rejected, indicating that daily Bitcoin returns are consistent with weak-form efficiency. Building on this baseline, an Interrupted Time Series (ITS) framework is employed to assess whether the onset of the COVID-19 pandemic in March 2020 led to structural changes in Bitcoin return dynamics. The ITS results reveal no statistically significant changes in level or slope following the outbreak. To further account for autoregressive and moving-average dynamics while explicitly modelling the intervention, an ARIMAX (0, 0, 7) model with COVID-19 intervention variables is estimated. Both the pandemic dummy and its interaction term are statistically insignificant, indicating no material change in the return-generating process after controlling for serial dependence. The moving-average structure indicates that shocks dissipate over approximately one trading week, consistent with weekly trading cycles and liquidity patterns in cryptocurrency markets rather than persistent return predictability. Diagnostic checks, including the Ljung-Box and Shapiro-Wilk tests, confirm the absence of residual autocorrelation and support the model's white-noise properties. Although volatility increased during the pandemic period, daily Bitcoin returns continued to align with weak-form market efficiency. The evidence, therefore, suggests that COVID-19 served as a stressor without generating persistent inefficiencies. These findings reinforce the distinction between volatility and predictability, demonstrating that heightened uncertainty does not necessarily undermine informational efficiency.