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

14 Pages Posted: 15 Sep 2020

See all articles by M. Belén Arouxet

M. Belén Arouxet

Universidad Nacional de La Plata

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

Verónica E. Pastor

University of Buenos Aires (UBA) - Universidad de Buenos Aires

Victoria Vampa

Universidad Nacional de La Plata

Date Written: September 11, 2020

Abstract

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.

Keywords: cryptocurrencies, Hurst exponent, wavelet transform, COVID-19

JEL Classification: G14, C13, C58

Suggested Citation

Arouxet, M. Belén and Bariviera, Aurelio F. and Pastor, Verónica E. and Vampa, Victoria, COVID-19 Impact on Cryptocurrencies: Evidence from a Wavelet-Based Hurst Exponent (September 11, 2020). Available at SSRN: https://ssrn.com/abstract=3692600 or http://dx.doi.org/10.2139/ssrn.3692600

M. Belén Arouxet

Universidad Nacional de La Plata ( email )

7 Nº 776
Buenos Aires, BA 1900
Argentina

Aurelio F. Bariviera (Contact Author)

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

Verónica E. Pastor

University of Buenos Aires (UBA) - Universidad de Buenos Aires ( email )

Argentina

Victoria Vampa

Universidad Nacional de La Plata ( email )

7 Nº 776
Buenos Aires, BA 1900
Argentina

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