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

Financial Innovation

Table 9 Determinants of the Ethereum 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	− 0.1982***	0.1585***	0.3288***	− 0.5537***	− 0.0693***	0.1096***
	(0.0313)	(0.0416)	(0.0262)	(0.0352)	(0.0196)	(0.0120)
Global financial and monetary policy
FSI	− 0.0250**	− 0.0207*	− 0.0323***	− 0.1439***	− 0.0719***	− 0.0538***
	(0.0100)	(0.0120)	(0.0060)	(0.0082)	(0.0045)	(0.0027)
MSCI	− 0.0172	0.0022	− 0.0061	− 0.0434*	− 0.0039	0.0005
	(0.0255	(0.0210)	(0.0124)	(0.0261)	(0.0075)	(0.0068
FFR	− 0.0015	0.0011	0.0011	− 0.0037	0.0012***	− 0.0001
	(0.0030)	(0.0055)	(0.0041)	(0.0024)	(0.0004)	(0.0003))
Investment substitutes
GSCI	0.0027	0.0054	− 0.0009	0.0166	0.0005	− 0.0017
	(0.0071)	(0.0064)	(0.0056)	(0.0139))	(0.0022)	(0.0022)
GOLD	0.0090	0.0041	0.0000	0.0234*	0.0093	0.0047
	(0.0137)	(0.0155)	(0.0153)	(0.0136	(0.0084)	(0.0046)
Uncertainty factors
EPU	− 0.0004*	0.0001	0.0001	0.0002	0.0001	− 0.0001
	(0.0002)	(0.0002)	(0.0001)	(0.0003)	(0.0002)	(0.0002)
VIX	− 0.0021	0.0010	− 0.0005	− 0.0065	− 0.0004	− 0.0007
	(0.0043)	(0.0038)	(0.0013)	(0.0081)	(0.0017)	(0.0012)
Internal factors
VOL	0.0001	0.0002	0.0001	− 0.0004	− 0.0003***	− 0.0001
	(0.0002)	(0.0002)	(0.0001)	(0.0005)	(0.0000)	(0.0001)
LIQ	− 0.1123***	− 0.3049***	− 0.3338***	1.1722***	0.9282***	0.7982***
	(0.0336)	(0.0539)	(0.0732)	(0.1096)	(0.0566)	(0.0501)
MFC	0.0008	− 0.0005	− 0.0001	− 0.0010	− 0.0006	− 0.0006
	(0.0009)	(0.0009)	(0.0008)	(0.0021)	(0.0005)	(0.0005)

The table reports the coefficients on the drivers of Ethereum 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