Financial Market Efficiency: Equity Versus Cryptocurrency Before and After Covid-19 Pandemic

The Covid-19 pandemic outbreak may generate differential impacts on global financial marketscausing some markets to be more efficient than the others. This paper employs Hurst Exponent as amethodology for measuring financial market efficiency. The literature focused largely on the equitymarkets such as the stock markets. There is a paucity of studies on the evolving cryptocurrencymarkets such as Bitcoins and Ethereum. There is also a paucity of studies examining how assetmarket efficiencies are influenced by the pandemic. We therefore develop testable efficiency markethypotheses for both equities and cryptocurrencies against the backdrop of a global pandemic. Wealso provide a new perspective in addition to those in the literature for explaining our empiricalfindings. Our results show that the efficiency levels of the cryptocurrency markets are lower thanthe stock markets, and the efficiency levels for the cryptocurrency and stock markets decline afterthe onset of the covid-19 pandemic.