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Multifractal Behavior Of Cryptocurrencies Before And During Covid-19

Author

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  • YING-HUI SHAO

    (School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai 201620, P. R. China)

  • HAN XU

    (School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai 201620, P. R. China)

  • YING-LIN LIU

    (��School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, P. R. China)

  • HAI-CHUAN XU

    (��School of Business, East China University of Science and Technology, Shanghai 200237, P. R. China)

Abstract

Based on high-frequency data, we study the difference in cryptocurrency market before and during the COVID-19. We analyze the multifractality of three major cryptocurrencies via the multifractal detrended fluctuation analysis (MFDFA). To investigate the source of multifractality, we construct shuffled, surrogated and truncate data. The results show that market efficiency of cryptocurrency has decreased during COVID-19. The cryptocurrency multifractal characteristics mainly come from non-Gaussian distribution. Additionally, the components of multifractal nature have changed during the pandemic. The results provide evidence for the impact of COVID-19 on cryptocurrency market.

Suggested Citation

  • Ying-Hui Shao & Han Xu & Ying-Lin Liu & Hai-Chuan Xu, 2021. "Multifractal Behavior Of Cryptocurrencies Before And During Covid-19," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 29(06), pages 1-10, September.
    • Handle: RePEc:wsi:fracta:v:29:y:2021:i:06:n:s0218348x21501322
    DOI: 10.1142/S0218348X21501322
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    Cited by:

    1. Saâdaoui, Foued, 2023. "Skewed multifractal scaling of stock markets during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    2. Ying-Hui Shao & Ying-Lin Liu & Yan-Hong Yang, 2023. "Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," Papers 2310.18903, arXiv.org, revised Apr 2024.

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