TY - JOUR
T1 - Asymmetric efficiency of cryptocurrencies during COVID19
AU - Naeem, Muhammad Abubakr
AU - Bouri, Elie
AU - Peng, Zhe
AU - Shahzad, Syed Jawad Hussain
AU - Vo, Xuan Vinh
N1 - Publisher Copyright:
© 2020 Elsevier B.V.
PY - 2021/3/1
Y1 - 2021/3/1
N2 - 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.
AB - 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.
KW - Asymmetry
KW - COVID-19
KW - Cryptocurrencies
KW - Efficiency
KW - MF-DFA
UR - https://www.scopus.com/pages/publications/85097169044
UR - https://www.scopus.com/pages/publications/85097169044#tab=citedBy
U2 - 10.1016/j.physa.2020.125562
DO - 10.1016/j.physa.2020.125562
M3 - Article
AN - SCOPUS:85097169044
SN - 0378-4371
VL - 565
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
M1 - 125562
ER -