Have the extraordinary circumstances of the COVID-19 outbreak and the Russian–Ukrainian conflict impacted the efficiency of cryptocurrencies?

This study explores whether the COVID-19 outbreak and Russian–Ukrainian (R–U) conflict have impacted the efficiency of cryptocurrencies. The novelty of this study is the use of the Cramér-von Mises test to examine cryptocurrency efficiency. We used a sample of daily prices for the six largest cryptocurrencies, covering the period from September 11, 2017, to September 30, 2022. Cryptocurrencies are found to be weakly efficient but exhibit heterogeneous levels of efficiency across currencies. Extraordinary events (COVID-19 and R–U) play a vital role in the degree of efficiency, where a trend toward inefficiency appears in all cryptocurrencies except for Ethereum Classic and Ripple. During the COVID-19 pandemic, the degree of inefficiency was higher than the level of inefficiency during R–U. This study provides useful guidance for investors and portfolio diversifiers to adjust their asset allocations during normal and stressful market periods.