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

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.