  This study examines the dynamic asset market linkages under the COVID-19
global pandemic based on market efficiency, in the sense of Fama (1970).
Particularly, we estimate the joint degree of market efficiency by applying Ito
et al.'s (2014; 2017) Generalized Least Squares-based time-varying vector
autoregression model. The empirical results show that (1) the joint degree of
market efficiency changes widely over time, as shown in Lo's (2004) adaptive
market hypothesis, (2) the COVID-19 pandemic may eliminate arbitrage and
improve market efficiency through enhanced linkages between the asset markets;
and (3) the market efficiency has continued to decline due to the Bitcoin
bubble that emerged at the end of 2020.
