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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
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author Lahmiri, Salim
Bekiros, Stelios
author_facet Lahmiri, Salim
Bekiros, Stelios
author_sort Lahmiri, Salim
collection PubMed
description 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.
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spelling pubmed-97594182022-12-19 The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets Lahmiri, Salim Bekiros, Stelios Chaos Solitons Fractals Frontiers 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. Elsevier Ltd. 2021-10 2021-07-10 /pmc/articles/PMC9759418/ /pubmed/36568907 http://dx.doi.org/10.1016/j.chaos.2021.111221 Text en © 2021 Elsevier Ltd. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Frontiers
Lahmiri, Salim
Bekiros, Stelios
The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
title The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
title_full The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
title_fullStr The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
title_full_unstemmed The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
title_short The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
title_sort effect of covid-19 on long memory in returns and volatility of cryptocurrency and stock markets
topic Frontiers
url 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
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