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The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets

We examine long memory (self-similarity) in digital currencies and international stock exchanges prior and during COVID-19 pandemic. Specifically, ARFIMA and FIGARCH models are respectively employed to evaluate long memory parameter in returns and volatility. The dataset contains 45 cryptocurrency m...

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Detalles Bibliográficos
Autores principales: Lahmiri, Salim, Bekiros, Stelios
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759418/
https://www.ncbi.nlm.nih.gov/pubmed/36568907
http://dx.doi.org/10.1016/j.chaos.2021.111221
Descripción
Sumario:We examine long memory (self-similarity) in digital currencies and international stock exchanges prior and during COVID-19 pandemic. Specifically, ARFIMA and FIGARCH models are respectively employed to evaluate long memory parameter in returns and volatility. The dataset contains 45 cryptocurrency markets and 16 international equity markets. The t-test and F-test are performed to estimated long memory parameters. The empirical findings follow. First, the level of persistence in return series of both markets has increased during the COVID-19 pandemic. Second, during COVID-19 pandemic, variability level in persistence in return series has increased in both digital currencies and stock markets. Third, return series in both markets exhibited comparable level of persistence prior and during the COVID-19 pandemic. Fourth, return series in volatility series of cryptocurrency exhibited high degree of persistence compared to international stock markets during the COVID-19 pandemic. Therefore, it is concluded that COVID-19 pandemic significantly affected long memory in return and volatility of cryptocurrency and international stock markets. In addition, our results suggest that the hybrid long memory model represented by the integration of ARFIMA-FIGARCH is significantly suitable to describe returns and volatility of cryptocurrencies and stocks and to reveal differences before and during COVID-19 pandemic periods.