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Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis

Werner Kristjanpoller, Elie Bouri () and Tetsuya Takaishi

Physica A: Statistical Mechanics and its Applications, 2020, vol. 545, issue C

Abstract: We study the asymmetric multifractality between five main cryptocurrencies (Bitcoin, Litecoin, Ripple, Monero, and Dash) and six equity ETFs from February 2, 2015 to April 30, 2019. The equity ETFs selected relate to emerging markets, China, Japan, the energy sector, financial sector, and technology–Nasdaq. Results from the multifractal asymmetric detrended cross-correlation analysis show a significant persistence and evidence of asymmetric multifractality in the cross-correlation between most of the pairs of cryptocurrencies and ETFs. These findings, which are consistent with previous findings on the susceptibility of Bitcoin to multifractality, indicate the presence of heterogeneity in the cross-relationship between most cryptocurrencies and equity ETFs.

Keywords: Asymmetric multifractality; Cross-correlation; Bitcoin; Cryptocurrencies; Equity ETFs (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320667

DOI: 10.1016/j.physa.2019.123711

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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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