EXAMINING THE FRACTAL MARKET HYPOTHESIS CONSIDERING DAILY AND HIGH FREQUENCY FOR CRYPTOCURRENCY ASSETS

Werner Kristjanpoller, Leonardo H. S. Fernandes () and Benjamin Tabak
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Werner Kristjanpoller: Departamento de Industrias, Universidad Técnica, Federico Santa María, Av. España 1680, Valparaíso, Chile
Leonardo H. S. Fernandes: ��Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535 Brazil

FRACTALS (fractals), 2022, vol. 30, issue 03, 1-20

Abstract: Cryptocurrencies play a pivotal role in the financial market. Given this, we perform the asymmetric multifractal cross-correlation analysis to examine the weak form of the Efficient Market Hypotheses (EMH) considering two temporal scales. In the daily scale, we find that the pair Bitcoin–Litecoin displays the largest multifractal spectrum. While, in the hourly scale, the pair Bitcoin–Ethereum presents the largest multifractal spectrum. Our empirical evidence has rejected the weak form of the EMH and clearly suggests that the dynamics of the analyzed cryptocurrency pairs are in line with the Fractal Market Hypothesis (FMH). Cross-correlation asymmetries are more persistent for small fluctuations than for large fluctuations. The results are essential for investors, portfolio and risk managers, and policymakers.

Keywords: Time Series; Cryptocurrencies; Multifractality; Asymmetric Cross-Correlations; Complexity (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S0218348X22500700

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