COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent

Cryptocurrency history begins in 2008 as a means of payment proposal. However, cryptocurrencies evolved into complex, high yield speculative assets. Contrary to traditional financial instruments, they are not (mostly) traded in organized, law-abiding venues, but on online platforms, where anonymity...

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Detalles Bibliográficos
Autores principales: Arouxét, María Belén, Fernández Bariviera, Aurelio, Pastor, Verónica Estela, Vampa, Victoria Cristina
Formato: Articulo Preprint
Lenguaje:Inglés
Publicado: 2020
Materias:
Ciencias Exactas
Matemática
cryptocurrencies
Hurst exponent
wavelet transform
Covid-19
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/128635
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3692600
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-128635
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Exactas
Matemática
cryptocurrencies
Hurst exponent
wavelet transform
Covid-19
spellingShingle Ciencias Exactas
Matemática
cryptocurrencies
Hurst exponent
wavelet transform
Covid-19
Arouxét, María Belén
Fernández Bariviera, Aurelio
Pastor, Verónica Estela
Vampa, Victoria Cristina
COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent
topic_facet Ciencias Exactas
Matemática
cryptocurrencies
Hurst exponent
wavelet transform
Covid-19
description Cryptocurrency history begins in 2008 as a means of payment proposal. However, cryptocurrencies evolved into complex, high yield speculative assets. Contrary to traditional financial instruments, they are not (mostly) traded in organized, law-abiding venues, but on online platforms, where anonymity reigns. This paper examines the long term memory in return and volatility, using high frequency time series of eleven important coins. Our study covers the pre-COVID-19 and the subsequent pandemia period. We use a recently developed method, based on the wavelet transform, which provides more robust estimators of the Hurst exponent. We detect that, during the peak of COVID-19 pandemic (around March 2020), the long memory of returns was only mildly affected. However, volatility suffered a temporary impact in its long range correlation structure. Our results could be of interest for both academics and practitioners.
format Articulo
Preprint
author Arouxét, María Belén
Fernández Bariviera, Aurelio
Pastor, Verónica Estela
Vampa, Victoria Cristina
author_facet Arouxét, María Belén
Fernández Bariviera, Aurelio
Pastor, Verónica Estela
Vampa, Victoria Cristina
author_sort Arouxét, María Belén
title COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent
title_short COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent
title_full COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent
title_fullStr COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent
title_full_unstemmed COVID-19 Impact on Cryptocurrencies : Evidence from a Wavelet-Based Hurst Exponent
title_sort covid-19 impact on cryptocurrencies : evidence from a wavelet-based hurst exponent
publishDate 2020
url http://sedici.unlp.edu.ar/handle/10915/128635
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3692600
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