arbiter
JournalsAccount

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

Walid Mensi et al.

Australian Economic Papers2025https://doi.org/10.1111/1467-8454.12390article
AJG 1ABDC B
Weight
0.44

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.

3 citations

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1111/1467-8454.12390

Or copy a formatted citation

@article{walid2025,
  title        = {{Hourly Asymmetric Multifractality and Dynamic Efficiency in Cryptocurrency Markets: The Effects of COVID‐19 and Russia–Ukraine Tension}},
  author       = {Walid Mensi et al.},
  journal      = {Australian Economic Papers},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1111/1467-8454.12390},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

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

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.44

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.