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Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis

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  • Kristjanpoller, Werner
  • Bouri, Elie
  • Takaishi, Tetsuya

Abstract

We study the asymmetric multifractality between five main cryptocurrencies (Bitcoin, Litecoin, Ripple, Monero, and Dash) and six equity ETFs from February 2, 2015 to April 30, 2019. The equity ETFs selected relate to emerging markets, China, Japan, the energy sector, financial sector, and technology–Nasdaq. Results from the multifractal asymmetric detrended cross-correlation analysis show a significant persistence and evidence of asymmetric multifractality in the cross-correlation between most of the pairs of cryptocurrencies and ETFs. These findings, which are consistent with previous findings on the susceptibility of Bitcoin to multifractality, indicate the presence of heterogeneity in the cross-relationship between most cryptocurrencies and equity ETFs.

Suggested Citation

  • Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    • Handle: RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320667
    DOI: 10.1016/j.physa.2019.123711
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