On extreme value theory in the presence of technical trend: pre and post Covid-19 analysis of cryptocurrency markets

Purpose Research on price extremes and overreactions as potential violations of market efficiency has a long tradition in investment literature. Arguably, very few studies to date have addressed this issue in cryptocurrencies trading. The purpose of this paper is to consider the extreme value modelling for forecasting COVID-19 effects on cryptocoin markets. Additionally, this paper examines the importance of technical trading indicators in predicting the extreme price behaviour of cryptocurrencies. Design/methodology/approach This paper decomposes the daily-time series returns of four cryptocurrency returns into potential maximum gains (PMGs) and potential maximum losses (PMLs) at first and then tests their lead-lag relations under an econometric framework. This paper also investigates the non-random properties of cryptocoins by computing the incremental explanatory power of PML-PMG modelling with technical trading indicators controlled. Besides, this paper executes an event study to identify significant changes caused by COVID-19-related events, which is capable of analysing the cryptocoin market overreactions. Findings The findings of this paper produce the evidence of both market overreactions and trend persistence in the potential gains and losses from coins trading. Extreme price behaviour explains volatility and price trends in crypto markets before and after the outbreak of a pandemic that substantiate the non-random walk behaviour of crypto returns. The presence of technical trading indicators as control variables in the extreme value regressions significantly improves the predictive power of models. COVID-19 crisis affects the market efficiency of cryptocurrencies that improves the usefulness of extreme value predictions with technical analysis. Research limitations/implications This paper strongly supports for the robustness of technical trading strategies in cryptocurrency markets. However, the "beast is moving quick" and uncertainty as to the new normalcy about the post-COVID-19 world puts constraint on making best predictions. Practical implications The paper contributes substantially to our understanding of the pricing efficiency of cryptocurrency markets after the COVID-19 outbreak. The findings of continuing return predictability and price volatility during COVID-19 show that profitable investment opportunities for cryptocoin traders are prevailing in pandemic times. Originality/value The paper is unique to understand extreme return reversals behaviour of cryptocurrency markets regarding events related to COVID-19 breakout.

Business adversity during the COVID-19 crisis and beyond: the way forward for small and medium enterprises in India

Purpose The novel coronavirus (COVID-19) leaves Indian business teetering on the edge of survival. This paper aims to set out to assess the impact of the pandemic shocks on the small and medium business segments in India. The research also explores the strategies that potentially take the segments back to recovery and growth. Design/methodology/approach The findings draw on the perspectives of academic and business people, and the authors use linear and nonlinear regression modelling under three recovery scenarios to support our arguments. Findings Evidence suggests that the shocks to business are manifold and the severity of most of the issues will aggravate as the recovery prolongs. Practical implications The paper explains the rationale of realistic strategies and compares its effects across potent recoveries. The findings are useful for both academics and business and relates to the strategic decisions that would be taken by small and medium enterprises to expedite recovery from the crisis. Originality/value The research is unique in surveying the academics and entrepreneurs about the impact of COVID-19 on Indian business.