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High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets

Maurice Omane-Adjepong and Imhotep Paul Alagidede

Chaos, Solitons & Fractals, 2020, vol. 132, issue C

Abstract: Inspired by the insurgence of the decade-old cryptocurrency market and its gradual acceptance into mainstream finance, this paper examines the evolving dynamic characteristics of the new currencies, in the midst of diverse emerging assets of the BRICS. We test for chaos in the time and scale return samples using LLE estimations. Our results accept (reject) chaotic structure for almost all the markets at the weekly (full and intraweek) data samples, and further found no copious disparity amongst the dynamic structure of the markets, contrary to the widely reported weak connectedness and somehow isolated cryptocurrencies from other financial assets. The findings hold implications for asset return forecasting, investment risk and regulatory policy.

Keywords: Non-linearity; Chaos; Cryptocurrency; Emerging markets; Lyapunov exponent (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.chaos.2019.109563

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