How the cryptocurrency market has performed during COVID 19? A multifractal analysis

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    Highlights

    The exploration of the cryptocurrencies market efficiency before and after the COVID-19 pandemicthrough a multifractal analysis.

    The study of the herding biases by quantifying the self-similarity intensity of cryptocurrency returns’ during the COVID-19.

    COVID-19 was revealed to have an impact on the efficiency of all the five cryptocurrencies.

    Abstract

    Cryptocurrency markets are complex systems based on speculation. Where investors interact using strategies that generate some biases responsible for endogenous instabilities. This paper investigated the herding biases by quantifying the self-similarity intensity of cryptocurrency returns’ during the COVID-19 pandemic. The main purpose of this work was to study the level of cryptocurrency efficiency through multifractal analysis before and after the coronavirus pandemic. The empirical results proved that COVID-19 has a positive impact on the cryptocurrency market efficiency.