THE EFFECTS OF COVID-19 ON MULTIFRACTALITY AND LONG-MEMORY IN ETHEREUM’S RETURNS

Jelena Radojičić, Ognjen Radovic

DOI Number
https://doi.org/10.22190/TEME221228014R
First page
093
Last page
112

Abstract


The global COVID-19 pandemic has shaken the global economy, not sparing the cryptocurrency market. In this paper, we investigate the impact of the COVID-19 pandemic on the dynamics of log returns of the Ethereum. The observed period is divided into three parts: the pre-pandemic period, the pandemic-induced shock, and the period after the pandemic-induced shock on the cryptocurrency market. The research focuses on the impact of the pandemic on the degree of non-linearity and multifractality of log returns. To assess the degree of non-linearity, we used the BDS test and the value of the largest Lyapunov exponent. For multifractality, long-range correlations and information efficiency, we used MF-DFA (Multifractal Detrended Fluctuation Analysis). The research results show that all observed periods have a pronounced non-linearity, but that there is no evidence of the existence of low-dimension chaos. Also, based on the results of the MF-DFA analysis, we conclude that the COVID-19 pandemic has significantly affected the long memory of the log returns of the Ethereum; however, their dynamics and characteristics are returning to the trends present before the pandemic.


Keywords

COVID-19, cryptocurrency market, multifractality, chaos, market efficiency

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References


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DOI: https://doi.org/10.22190/TEME221228014R

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