How the Cryptocurrency Market Has Performed during COVID 19? A Multifractal Analysis

E. Mnif, A. Jarboui and K. Mouakhar
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E. Mnif: LARTIGE - Laboratoire de recherche en Technologie de l’Information, Gouvernance et Entrepreneuriat - Université de Sfax - University of Sfax
A. Jarboui: Université de Sfax - University of Sfax
K. Mouakhar: Métis Lab EM Normandie - EM Normandie - École de Management de Normandie = EM Normandie Business School

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Abstract: Cryptocurrency markets are complex systems based on speculation. Where investors interact using strategies that generate some biases responsible for endogenous instabilities. This paper investigated the herding biases by quantifying the self-similarity intensity of cryptocurrency returns' during the COVID-19 pandemic. The main purpose of this work was to study the level of cryptocurrency efficiency through multifractal analysis before and after the coronavirus pandemic. The empirical results proved that COVID-19 has a positive impact on the cryptocurrency market efficiency. © 2020 Elsevier Inc.

Keywords: COVID-19; Cryptocurrency; Efficiency index; Generalised Hurst exponent; Herding behaviour (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (10)

Published in Finance Research Letters, 2020, 36, ⟨10.1016/j.frl.2020.101647⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04457136

DOI: 10.1016/j.frl.2020.101647

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