Physics

Internal medicine

Investment (military)

Disease

Coronavirus disease 2019 (COVID-19)

Mathematics

Asymmetry

Fractal

Infectious disease (medical specialty)

Term (time)

Politics

Financial economics

Multifractal system

Mathematical analysis

Political science

Econometrics

Cryptocurrency

Economics

Computer science

Quantum mechanics

Computer security

Medicine

Finance research letters

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.

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