Asymmetric multifractality and dynamic efficiency in DeFi markets

Walid Mensi (), Anoop S. Kumar (), Xuan Vinh Vo () and Sang Hoon Kang ()
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Walid Mensi: Sultan Qaboos University
Anoop S. Kumar: University of Economics Ho Chi Minh City
Xuan Vinh Vo: University of Economics Ho Chi Minh City
Sang Hoon Kang: Pusan National University

Journal of Economics and Finance, 2024, vol. 48, issue 2, No 2, 280-297

Abstract: Abstract This paper examines the asymmetric multifractality and efficiency in four DeFi assets (BAT-Basic Attention Token, LINK-Chainlink, MKR-Maker, and SNX-Synthetix) using the asymmetric MF-DFA approach and Hurst exponents. The results show different multifractality during downward and upward trends. Furthermore, the asymmetric multifractality intensifies with scale rises. Before the COVID-19 pandemic, BAT, Maker, and Link are more inefficient under upward trend and SNX under downward trend. Conversely, the four DeFi assets are more inefficient during downward trend. Link asset is the most inefficient market before and during COVID-19. These results have important implications for retail investors and funds mangers.

Keywords: G14 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s12197-023-09655-6

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