Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies

Werner Kristjanpoller and Elie Bouri ()

Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 1057-1071

Abstract: The price behavior of cryptocurrencies relative to conventional currencies remains relatively understudied, despite some attempts that consider the Bitcoin market. This study examines long-range cross-correlations and asymmetric multifractality between leading conventional currencies (Swiss Franc, Euro, British Pound, Yen, and Australian dollar) and main cryptocurrencies (Bitcoin, Litecoin, Ripple, Monero, and Dash) from June 2, 2014 to February 28, 2018. Empirical results show evidence of a significant asymmetric characteristic from the cross-correlation, that is found to be persistent and multifractal in most of the cases. Bitcoin and Litecoin are the cryptocurrencies that exhibit the most multifractal behavior, whereas Monero and Ripple generally exhibit lower multifractal behavior. All cryptocurrencies exhibit a slightly lower asymmetry for longer terms.

Keywords: Asymmetric multifractal cross-correlation; Cryptocurrencies; Exchange rates (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:1057-1071

DOI: 10.1016/j.physa.2019.04.115

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