On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum

Financial Innovation

Table 8 Determinants of the Bitcoin market’s efficiency before and after the COVID-19 crisis

	Before COVID-19 crisis			Post COVID-19 crisis
	0.1	0.5	0.9	0.1	0.5	0.9
Constant
C	− 0.1123***	− 0.0448	0.2624***	− 0.7083***	− 0.3205***	− 0.0731***
	(0.0323)	(0.0279	(0.0218)	(0.0428)	(0.0303)	(0.0254)
Global financial and monetary policy
FSI	− 0.0352***	− 0.0249***	− 0.0310***	− 0.1338***	− 0.1092***	− 0.0753***
	(0.0098)	(0.0077)	(0.0053)	(0.0160)	(0.0053)	(0.0043)
MSCI	0.0083	− 0.0066	− 0.0077	− 0.0507*	− 0.0032	0.0029
	(0.0282)	(0.0142)	(0.0102)	(0.0281)	(0.0106)	(0.0090)
FFR	− 0.0067**	− 0.0014	0.0002	0.0017	0.0004	− 0.0003
	(0.0028)	(0.0023)	(0.0014)	(0.0091)	(0.0007)	(0.0004)
Investment substitutes
GSCI	− 0.0038	− 0.0003	− 0.0015	0.0019	− 0.0024	− 0.0044
	(0.0079)	(0.0050)	(0.0030)	(0.0162)	(0.0060)	(0.0029)
GOLD	− 0.0108	0.0138	0.0044	0.0209	− 0.0026	0.0025
	(0.0263)	(0.0123)	(0.0077)	(0.0265)	(0.0089)	(0.0042)
Uncertainty factors
EPU	− 0.0002	0.0002	0.0001	− 0.0002	− 0.0002	− 0.0001
	(0.0003)	(0.0002)	(0.0002)	(0.0007)	(0.0002)	(0.0001)
VIX	− 0.0004	− 0.0002	0.0007	− 0.0055	0.0003	0.0003
	(0.0058)	(0.0021)	(0.0014)	(0.0065)	(0.0020)	(0.0016)
Internal factors
VOL	0.0009**	0.0004**	0.0003***	− 0.0006	− 0.0006***	− 0.0007***
	(0.0004)	(0.0002)	(0.0001)	(0.0017)	(0.0001)	(0.0001)
LIQ	0.4764**	0.2706**	− 0.8490***	3.1974***	3.2716***	2.8215***
	(0.2106)	(0.1345)	(0.0902)	(0.4344)	(0.2371)	(0.2100)
MFC	0.0021**	0.0008	− 0.0004	0.0012	0.0006	− 0.0001
	(0.0009)	(0.0009)	(0.0006)	(0.0019)	(0.0008)	(0.0006)

The table reports the coefficients on the drivers of Bitcoin market efficiency estimated based on quantile regressions before and after the COVID-19 crisis. Standard errors are given in parentheses
***, **, * denote the statistical significance at the 1, 5, and 10% levels, respectively