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