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Asymmetric multifractality and dynamic efficiency in DeFi markets

Author

Listed:
  • Walid Mensi

    (Sultan Qaboos University
    University of Economics Ho Chi Minh City
    Gulati Institute of Finance and Taxation)

  • Anoop S. Kumar

    (University of Economics Ho Chi Minh City)

  • Xuan Vinh Vo

    (University of Economics Ho Chi Minh City)

  • Sang Hoon Kang

    (Pusan National University)

Abstract

This paper examines the asymmetric multifractality and efficiency in four DeFi assets (BAT-Basic Attention Token, LINK-Chainlink, MKR-Maker, and SNX-Synthetix) using the asymmetric MF-DFA approach and Hurst exponents. The results show different multifractality during downward and upward trends. Furthermore, the asymmetric multifractality intensifies with scale rises. Before the COVID-19 pandemic, BAT, Maker, and Link are more inefficient under upward trend and SNX under downward trend. Conversely, the four DeFi assets are more inefficient during downward trend. Link asset is the most inefficient market before and during COVID-19. These results have important implications for retail investors and funds mangers.

Suggested Citation

  • Walid Mensi & Anoop S. Kumar & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Asymmetric multifractality and dynamic efficiency in DeFi markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 280-297, June.
    • Handle: RePEc:spr:jecfin:v:48:y:2024:i:2:d:10.1007_s12197-023-09655-6
    DOI: 10.1007/s12197-023-09655-6
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    G14;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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