Persistence in the cryptocurrency market: the impact of the Covid-19 pandemic and of the Russia-Ukraine war

Abstract

This paper uses fractional integration methods to analyse persistence in the five cryptocurrencies with the highest degree of market capitalization (Bitcoin, Ethereum, Tether, BNB and USD Coin), and also the possible impact of both the Covid-19 pandemic and the Russia-Ukraine war. The findings suggest mean reversion in the case of the USD Coin, an explosive pattern in the case of BNB, and anti-persistence in the case of Tether. The unit root null hypothesis cannot be rejected in the case of Bitcoin, Ethereum and USD Coin, whilst it is rejected in favour of d > 1 in the case of BNB (where d is the fractional differencing parameter measuring persistence). Finally, there is not much evidence that either the Covid-19 pandemic or the Russia-Ukraine conflict have significantly affected persistence in the cryptocurrency market.