Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 565, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.physa.2020.125562
Keywords
Cryptocurrencies; Efficiency; Asymmetry; MF-DFA; COVID-19
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The study reveals significant asymmetric multifractality in the price of cryptocurrencies, with upward trends exhibiting stronger multifractality than downward trends. The COVID-19 outbreak adversely affected the efficiency of the four cryptocurrencies, particularly hitting Bitcoin and Ethereum the hardest, although they recovered quickly from their efficiency dip.
In this study, we examine the asymmetric efficiency of cryptocurrencies using 1-hour data of Bitcoin, Ethereum, Litecoin, and Ripple. In doing so, we utilize the asymmetric multifractal detrended fluctuation analysis (MF-DFA). We find significant asymmetric multifractality in the price of cryptocurrencies and that upward trends exhibit stronger multifractality than downward trends. Using the time-varying deficiency measure, we show that the COVID-19 outbreak adversely affected the efficiency of the four cryptocurrencies, given a substantial increase in the levels of inefficiency during the COVID-19 period. Bitcoin and Ethereum are the hardest hit, and at the same time, these two largest cryptocurrencies recovered faster at the end of March 2020 from their sharp dip towards inefficiency. The findings confirm previous evidence that market efficiency is time varying; also, unprecedented catastrophic events, such as the COVID-19 outbreak, have adverse effects of on the efficiency of leading cryptocurrencies. (C) 2020 Elsevier B.V. All rights reserved.
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