【Author】
Mensi, Walid; Lee, Yun-Jung; Al-Yahyaee, Khamis Hamed; Sensoy, Ahmet; Yoon, Seong-Min
【Source】FINANCE RESEARCH LETTERS
【Abstract】This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less) accentuated when the market follows a downward (upward) movement. The efficiency level varies based on each subperiod.
【Keywords】High-frequency trading; Bitcoin; Ethereum; Efficient market hypothesis; Asymmetric MF-DFA method; Generalized Hurst exponent
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