How the cryptocurrency market has performed during COVID 19? A multifractal analysis

【Author】 Mnif, Emna; Jarboui, Anis; Mouakhar, Khaireddine

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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.

【Keywords】Cryptocurrency; Efficiency index; Generalised Hurst exponent; COVID-19; Herding behaviour

【发表时间】2020 OCT

【收录时间】2022-01-02

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