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This article employs a Markovian regime-switching autoregressive approach to examine triangular arbitrage across forex and cryptocurrency markets during the coronavirus disease 2019 crisis. The findings suggest the following: (1) profitable triangular arbitrage tends to occur in the turbulent period during the crisis, significantly outperforming cryptocurrency investments; and (2) the persistent profitability of triangular arbitrage ensues from strong memory of high returns, low risk, and shock response to global quantitative monetary easing policy. Regulatory authorities should consolidate cryptocurrency supervision systems and establish cross-border coordination mechanisms to stabilize exchange rates and enhance market efficiency.

Triangular arbitrage across forex and cryptocurrency markets during the COVID-19 crisis: a MRS-AR approach