Cryptocurrency market efficiency in short- and long-term horizons during COVID-19: An asymmetric multifractal analysis approach

This study investigates asymmetric multifractality and market efficiency of the major cryptocurrencies during the COVID-19 pandemic while accounting for different investment horizons. By applying the asymmetric multifractal detrended fluctuation analysis, we show that the outbreak affected the efficiency property of price behaviors differently between short- and long-term horizons. After the outbreak, the markets exhibited stronger multifractality in the short-term but weaker multifractality in the long-term. We also analyze asymmetric market patterns between upward and downward trends and between small and large price fluctuations and confirm that the outbreak has greatly changed the level of asymmetry in cryptocurrency markets