Hourly Asymmetric Multifractality and Dynamic Efficiency in Cryptocurrency Markets: The Effects of COVID-19 and Russia–Ukraine Tension

IF 1.2 4区经济学 Q3 ECONOMICS

Australian Economic Papers Pub Date : 2025-01-07 DOI:10.1111/1467-8454.12390

Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo, Sang Hoon Kang

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引用次数: 0

Abstract

This paper examines the hourly downward/upward multifractality and dynamic efficiency of four cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC)— before and during the COVID-19 pandemic, and during the Russia–Ukraine tension. Using the asymmetric multifractal detrended fluctuation analysis method, the results show significant asymmetric multifractality in all series, which intensifies for BTC only throughout the COVID-19 crisis and narrows for ETH, XRP, and LTC. Moreover, we show that cryptocurrency markets are more inefficient during the upward (downward) trend and before (during) the COVID-19 crisis. LTC is the least inefficient market pre COVID-19, whereas XRP is the least inefficient during the pandemic crisis. The results show evidence of excessive asymmetric multifractality for all four crypto markets. Before the COVID-19 crisis, positive values of excess asymmetry in multifractality have been identified for BTC and LTC markets, whereas the excess asymmetry values were negative for ETH and XRP markets. BTC and ETH markets showed wider multifractality fluctuations compared to LTC and XRP, indicating a stronger reaction to the war's impact.

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加密货币市场的小时不对称多重分形和动态效率：COVID-19和俄罗斯-乌克兰紧张局势的影响

本文研究了四种加密货币——比特币（BTC）、以太坊（ETH）、瑞波币（XRP）和莱特币（LTC）——在COVID-19大流行之前和期间以及俄罗斯-乌克兰紧张局势期间的每小时下行/上行多重分形和动态效率。采用非对称多重分形去趋势波动分析方法，结果显示所有序列均存在显著的非对称多重分形，仅在COVID-19危机期间，BTC的非对称多重分形增强，ETH、XRP和LTC的非对称多重分形减弱。此外，我们表明加密货币市场在上升（下降）趋势期间和COVID-19危机之前（期间）效率更低。LTC是COVID-19前效率最低的市场，而瑞波币在大流行危机期间效率最低。结果表明，所有四个加密市场都存在过度不对称多重分形的证据。在COVID-19危机之前，BTC和LTC市场的多重分形过度不对称值为正值，而ETH和XRP市场的过度不对称值为负值。与LTC和XRP相比，BTC和ETH市场表现出更大的多重分形波动，表明对战争影响的反应更强烈。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Australian Economic Papers ECONOMICS-

CiteScore

3.20

自引率

5.30%

发文量

期刊介绍： Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.