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

Emna Mnif, Anis Jarboui and Khaireddine Mouakhar

Finance Research Letters, 2020, vol. 36, issue C

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.

Keywords: Cryptocurrency; Efficiency index; Generalised Hurst exponent; COVID-19; Herding behaviour (search for similar items in EconPapers)
JEL-codes: C1 C22 F1 G10 G14 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (92)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320306346

DOI: 10.1016/j.frl.2020.101647

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