文献类型：期刊文献

英文题名：MULTIFRACTAL BEHAVIOR OF CRYPTOCURRENCIES BEFORE AND DURING COVID-19

作者：Shao, Ying-Hui[1];Xu, Han[1];Liu, Ying-Lin[2];Xu, Hai-Chuan[3]

机构：[1]Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai 201620, Peoples R China;[2]Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China;[3]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2021

卷号：29

期号：06

外文期刊名：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY

收录：;EI(收录号：20213010674322);WOS:【SSCI(收录号:WOS:000698113300006)，SCI-EXPANDED(收录号:WOS:000698113300006)】；

基金：This work was supported by the National Natural Science Foundation of China (11805119, 71971081).

语种：英文

外文关键词：Cryptocurrency; MFDFA; COVID-19; Multifractality; Generalized Hurst Exponent; High-Frequency Data

摘要：Based on high-frequency data, we study the difference in cryptocurrency market before and during the COVID-19. We analyze the multifractality of three major cryptocurrencies via the multifractal detrended fluctuation analysis (MFDFA). To investigate the source of multifractality, we construct shuffled, surrogated and truncate data. The results show that market efficiency of cryptocurrency has decreased during COVID-19. The cryptocurrency multifractal characteristics mainly come from non-Gaussian distribution. Additionally, the components of multifractal nature have changed during the pandemic. The results provide evidence for the impact of COVID-19 on cryptocurrency market.