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Examining The Fractal Market Hypothesis Considering Daily And High Frequency For Cryptocurrency Assets

Author

Listed:
  • WERNER KRISTJANPOLLER

    (Departamento de Industrias, Universidad Técnica, Federico Santa María, Av. España 1680, Valparaíso, Chile)

  • LEONARDO H. S. FERNANDES

    (��Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535 Brazil)

  • BENJAMIN M. TABAK

    (��School of Public Policy and Government, Getulio Vargas Foundation (EPPG/FGV), Brasilia, DF, Brazil)

Abstract

Cryptocurrencies play a pivotal role in the financial market. Given this, we perform the asymmetric multifractal cross-correlation analysis to examine the weak form of the Efficient Market Hypotheses (EMH) considering two temporal scales. In the daily scale, we find that the pair Bitcoin–Litecoin displays the largest multifractal spectrum. While, in the hourly scale, the pair Bitcoin–Ethereum presents the largest multifractal spectrum. Our empirical evidence has rejected the weak form of the EMH and clearly suggests that the dynamics of the analyzed cryptocurrency pairs are in line with the Fractal Market Hypothesis (FMH). Cross-correlation asymmetries are more persistent for small fluctuations than for large fluctuations. The results are essential for investors, portfolio and risk managers, and policymakers.

Suggested Citation

  • Werner Kristjanpoller & Leonardo H. S. Fernandes & Benjamin M. Tabak, 2022. "Examining The Fractal Market Hypothesis Considering Daily And High Frequency For Cryptocurrency Assets," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 30(03), pages 1-20, May.
    • Handle: RePEc:wsi:fracta:v:30:y:2022:i:03:n:s0218348x22500700
    DOI: 10.1142/S0218348X22500700
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    Citations

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    Cited by:

    1. Fernandes, Leonardo H.S. & Bouri, Elie & Silva, José W.L. & Bejan, Lucian & de Araujo, Fernando H.A., 2022. "The resilience of cryptocurrency market efficiency to COVID-19 shock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    2. Saâdaoui, Foued, 2023. "Skewed multifractal scaling of stock markets during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).

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