Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple

Celeste, Valerio; Corbet, Shaen; Gurdgiev, Constantin

doi:10.1016/j.qref.2019.09.011

Cited by 85 publications

(34 citation statements)

References 42 publications

(46 reference statements)

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“…In addition, the fractal dimension increases between the first sub-period (before the outbreak) and the second (after the outbreak), indicating that herding behaviour declines during these periods. These results are in accordance with previous studies (Celeste, Corbet, & Gurdgiev, 2020); consequently inefficiency is reduced and bubble risks are minimised. Therefore, herding behaviour decreased in conventional, showing that the COVID-19 pandemic has had a positive impact on the other studied cryptocurrencies.…”

Section: Results and Analysis 41 Resultssupporting

confidence: 93%

Islamic, Green, and Conventional Cryptocurrency Market Efficiency During the Covid-19 Pandemic

Mnif

Jarboui

2021

JIMF

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Unlike conventional cryptocurrencies, Islamic ones are new technologies backed by tangible assets and are characterised by their fundamental values. After the COVID-19 outbreak, cryptocurrency responses have shown different behaviour to stock market reactions. However, there is a lack of studies on the efficiency of Islamic and green cryptocurrencies during the pandemic. This paper attempts to analyse the behaviour of three typical families of cryptocurrencies (conventional, Islamic, and green) extracted according to their availability in daily frequencies during COVID-19. For this purpose, their efficiency levels are studied before and after the outbreak by employing multifractal detrended fluctuation analysis (MFDFA) to make the best predictions and strategies. The inefficiency of the cryptocurrencies is assessed through a magnitude of long-memory (MLM) efficiency index, and the impact of COVID-19 on their efficiency is evaluated. The primary results show that HelloGold was the most efficient market before the COVID-19 outbreak and that subsequently Ethereum has been the mostefficient. In addition, the findings reveal that the cryptocurrency reactions are not similar and show more resilience in the Ethereum and Litecoin markets than in other cryptocurrency markets. The main contribution of this study is the evaluation of the impact of COVID-19 on the various classes of crypto money. This work has practical implications, as it provides new insights into trading opportunities and market reactions. Moreover, he work has theoretical implications based on its evaluation of three distinct models from different doctrine viewpoints.

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Section: Results and Analysis 41 Resultssupporting

confidence: 93%

Islamic, Green, and Conventional Cryptocurrency Market Efficiency During the Covid-19 Pandemic

Mnif

Jarboui

2021

JIMF

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“…Currency and cryptocurrency markets represent a complex system in the domain of economics and finance ( Yang et al, 2016 , Bouri et al, 2019 , Gomes and Gubareva, 2020 ; and the references therein). These studies of interdependence of foreign exchange markets and cryptocurrency markets have been attracting a vast research interest from the point of view of contagion, adversely impacting portfolio risk management, strategic asset allocation, and financial instruments pricing ( Baumohl, 2019 , Kristjanpoller and Bouri, 2019 , Malik and Umar, 2019 , Celeste et al, 2020 ).…”

Section: Introductionmentioning

confidence: 99%

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

Umar

Gubareva

2020

Journal of Behavioral and Experimental Finance

195

105

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We apply wavelet analyses to examine the impact of the Covid-19 fueled panic on the volatility of major fiat and cryptocurrency markets during January-May, 2020. There is high coherence between moves of the Coronavirus Panic Index and the price moves in Euro, British pound, and Renminbi currencies as well as movements of the Bloomberg Galaxy Crypto Index. The main conclusions for each index pair are quite similar and corroborate with our thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic. However, we document some important differences in currency markets behavior, which potentially could be used to design effective cross-currency hedges capable of withstanding adverse impacts of global financial and economic turmoil. Our findings could be of use for future development of financial policies and currency markets regulation rules.

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“…coefficients in the variance equation are <0.05, they can be taken as significant. To see the leverage effect, we focus on the value of C (5), which is the asymmetric term's coefficient (λ). The value of C ( 5) is positive at 0.324936 and is significant as P<0.05.…”

Section: Discussionmentioning

confidence: 99%

The Contagion Effects of Covid-19 Pandemic on Cryptocurrencies

Ullah

Shaikh

Jadoon

et al. 2021

HSSR

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Purpose of the Study: In this research, the association between the COVID-19 pandemic and cryptocurrencies' price volatility has been examined. Methodology: To check the contagion effects of the COVID-19 pandemic on the price volatility of cryptocurrencies: BITCOIN, LITECOIN, XRP(RIPPLE), and ETHEREUM, the prices of all four are deployed from 10th August 2016 to 10th August 2020. The exponential generalized autoregressive conditional heteroscedastic (EGARCH) model is used to check the leverage effect exists or not. Stata 16 has been used to execute all the tests. Main Findings: The study's findings indicated that the leverage effect on the price volatility is present for LITECOIN, XRP(RIPPLE), and ETHEREUM but not for BITCOIN. Applications of the study: This study is significant for investors to develop strategies for investments and secure the transactions and control the creation of additional currency units. Also, it gives insight to the policy and decision-makers to articulate proper guidelines to overcome or minimize the effect of COVID-19 on cryptocurrency. Novelty/Originality of this Study: The motive for taking the crypto market into account is that the crypto market is one of the emerging markets and has started to have significance worldwide, linking with financial markets and economic growth. The leverage effect of COVID-19 is considered in this study as the epidemic has affected the supply and demand of goods due to lockdowns, blockages, and disruptions in delivery chains that lead to undiminished economic growth.

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Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple

Cited by 85 publications

References 42 publications

Islamic, Green, and Conventional Cryptocurrency Market Efficiency During the Covid-19 Pandemic

Islamic, Green, and Conventional Cryptocurrency Market Efficiency During the Covid-19 Pandemic

A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets

The Contagion Effects of Covid-19 Pandemic on Cryptocurrencies

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