【Author】 Kakinaka, Shinji; Umeno, Ken
【Source】FINANCE RESEARCH LETTERS
【影响因子】9.848
【Abstract】This study investigates asymmetric multifractality and market efficiency of the major cryptocurrencies during the COVID-19 pandemic while accounting for different investment horizons. By applying the asymmetric multifractal detrended fluctuation analysis, we show that the outbreak affected the efficiency property of price behaviors differently between short- and long-term horizons. After the outbreak, the markets exhibited stronger multifractality in the short-term but weaker multifractality in the long-term. We also analyze asymmetric market patterns between upward and downward trends and between small and large price fluctuations and confirm that the outbreak has greatly changed the level of asymmetry in cryptocurrency markets.
【Keywords】Cryptocurrency; COVID-19; Market efficiency; Multi-scale property; Generalized Hurst exponent; A-MFDFA
【发表时间】2022 MAY
【收录时间】2022-07-10
【文献类型】实证性文章
【主题类别】
区块链治理-市场治理-市场分析
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