Abstract
ABSTRACT The COVID-19 pandemic has raised great attention to the study of its impacts on Bitcoin. We focus on the impacts of the COVID-19 pandemic on the long memory and efficiency of Bitcoin. There exist a few studies on this topic. These studies all ignore the issues of heavy tails and extreme events during COVID-19, which are obstacles to obtaining the reliable continuous time-varying results of long memory and efficiency. After considering the two issues, we first obtain the reliable continuous time-varying results during COVID-19 via sliding window and estimation of Hurst exponent. The other four markets (Ethereum, Binance Coin, S&P 500, and gold spot) are also analysed for comparison. Bitcoin results show that the Bitcoin market keeps efficient during the pandemic and the heavy tails become weaker after the onset of the pandemic. Results of the comparison study show that Bitcoin has similar efficiency with spot gold and is more efficient than Ethereum, Binance Coin, and S&P 500 during the pandemic. This study contributes to current rare literature on the long memory and efficiency of cryptocurrency during COVID-19.
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