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How the cryptocurrency market has performed during COVID 19? A multifractal analysis

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  • Mnif, Emna
  • Jarboui, Anis
  • Mouakhar, Khaireddine

Abstract

Cryptocurrency markets are complex systems based on speculation. Where investors interact using strategies that generate some biases responsible for endogenous instabilities. This paper investigated the herding biases by quantifying the self-similarity intensity of cryptocurrency returns’ during the COVID-19 pandemic. The main purpose of this work was to study the level of cryptocurrency efficiency through multifractal analysis before and after the coronavirus pandemic. The empirical results proved that COVID-19 has a positive impact on the cryptocurrency market efficiency.

Suggested Citation

  • Mnif, Emna & Jarboui, Anis & Mouakhar, Khaireddine, 2020. "How the cryptocurrency market has performed during COVID 19? A multifractal analysis," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320306346
    DOI: 10.1016/j.frl.2020.101647
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    More about this item

    Keywords

    Cryptocurrency; Efficiency index; Generalised Hurst exponent; COVID-19; Herding behaviour;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • F1 - International Economics - - Trade
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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