Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID‑19 pandemic with fractal, chaos, and randomness : evidence from a large dataset

This study examines the market efciency in the prices and volumes of transactions of 41 cryptocurrencies. Specifcally, the correlation dimension (CD), Lyapunov Exponent (LE), and approximate entropy (AE) were estimated before and during the COVID-19 pandemic. Then, we applied Student's t-test and F-test to check whether the estimated nonlinear features difer across periods. The empirical results show that (i) the COVID-19 pandemic has not afected the means of CD, LE, and AE in prices, (ii) the variances of CD, LE, and AE estimated from prices are diferent across pre-pandemic and during pandemic periods, and specifcally (iii) the variance of CD decreased during the pandemic; however, the variance of LE and the variance of AE increased during the pandemic period. Furthermore, the pandemic has not afected all three features estimated from the volume series. Our fndings suggest that investing in cryptocurrencies is advantageous during a pandemic because their prices become more regular and stable, and the latter has not afected the volume of transactions.