Abstract
We explore the evolution of the informational efficiency in 45 cryptocurrency markets and 16 international stock markets before and during COVID-19 pandemic. The measures of Largest Lyapunov Exponent (LLE) based on the Rosenstein's method and Approximate Entropy (ApEn), which are robust to small samples, are applied to price time series in order to estimate degrees of stability and irregularity in cryptocurrency and international stock markets. The amount of regularity infers on the unpredictability of fluctuations. The t-test and F-test are performed on estimated LLE and ApEn. In total, 36 statistical tests are performed to check for differences between time periods (pre- versus during COVID-19 pandemic samples) on the one hand, as well as check for differences between markets (cryptocurrencies versus stocks), on the other hand. During the COVID-19 pandemic period it was found that (a) the level of stability in cryptocurrency markets has significantly diminished while the irregularity level significantly augmented, (b) the level of stability in international equity markets has not changed but gained more irregularity, (c) cryptocurrencies became more volatile, (d) the variability in stability and irregularity in equities has not been affected, (e) cryptocurrency and stock markets exhibit a similar degree of stability in price dynamics, whilst finally (f) cryptocurrency exhibit a low level of regularity compared to international equity markets. We find that cryptos showed more instability and more irregularity during the COVID-19 pandemic compared to international stock markets. Thus, from an informational efficiency perspective, investing in digital assets during big crises as the COVID-19 pandemic, could be considered riskier as opposed to equities.