PERSISTENCE IN CRYPTOCURRENCY RETURNS: A COMPARATIVE ANALYSIS OF PRE- AND POST-COVID PERIODS

Authors

  • Saad Babar Jadoon Department of Management Sciences, HITEC University, Taxila, Pakistan
  • Zartashia Hameed* Ph.D. Department of Management Sciences, HITEC University, Taxila, Pakistan
  • Aroosha Riaz Department of Management Sciences HITEC University, Taxila
  • Anwaar Ahmed Department of Management Sciences HITEC University, Taxila
  • Mariyam Qadir Department of Management Sciences HITEC University, Taxila

Abstract

This article examines the persistence and market behavior of five major cryptocurrencies, Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Tether (USTD), and Binance Coin (BNB), during the Pre-COVID and Post-COVID periods. The selected five cryptocurrencies are compared to check which currency shows more persistence before and after the COVID-19 pandemic. Using the R/S analysis methodology, the values of the Hurst exponent show the varying persistence levels across cryptocurrencies, with BTC exhibiting a slight persistence reduction (from 0.625 to 0.577) post-COVID. In contrast, ETH and BNB show increased persistence. Conversely, USTD demonstrates consistent mean-reverting behavior. Statistically significant results confirm the existence of long-term memory in cryptocurrency returns, rejecting the random walk hypothesis. The results indicate the impact of external shocks, such as the COVID-19 pandemic, on trading behavior and market efficiency, providing valuable insights for investors and portfolio managers.

Keywords: Cryptocurrency, Hurst exponent, COVID-19 pandemic, market efficiency, Persistence

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Published

2024-12-23

How to Cite

Saad Babar Jadoon, Zartashia Hameed*, Aroosha Riaz, Anwaar Ahmed, & Mariyam Qadir. (2024). PERSISTENCE IN CRYPTOCURRENCY RETURNS: A COMPARATIVE ANALYSIS OF PRE- AND POST-COVID PERIODS. Advance Social Science Archive Journal, 2(4), 777–788. Retrieved from https://assajournal.com/index.php/36/article/view/104