Purpose

Unlike previous crisis where investors tend to put their assets in safe havens like gold, the recent coronavirus pandemic is characterised by an increase in the Bitcoin purchasing described as risk heaven. This paper aims to analyse the Bitcoin dynamics and the investor response by focusing on herd biases. Therefore, the main objective of this work is to study the degree of efficiency through multifractal analysis in order to detect herd behaviour leading to build the best predictions and strategies.

Design/methodology/approach

This paper develops a novel methodology that detects the presence of herding biases and assesses the inefficiency of Bitcoin through an inefficiency index (MLM) by using statistical indicators defined by measures of persistence. This study, also, investigates the nonlinear dynamical properties of Bitcoin by estimating the Multifractal Detrended Fluctuation Analysis (MFDFA) leading to deduce the effect of COVID-19 on the Bitcoin performance. Besides, this work performs an event study to capture abnormal changes created by COVID-19 related events capable to analyse the Bitcoin market response.

Findings

The empirical results of the generalized Hurst exponent GHE estimation indicates that Bitcoin is multifractal before this pandemic and becomes less fractal after the outbreak. Using an efficiency index (MLM), Bitcoin is found to be more efficient after the pandemic. Based on the Hausdorff topology, the authors showed that this pandemic has reduced the herd bias.

Research limitations/implications

The uncertainty of COVID-19 disease and the lasting of its duration make it difficult to make the best prediction.

Practical implications

The main contribution of this study is the evaluation of the Bitcoin value after the COVID19 outbreak. This work has practical implications as it provides new insights on trading opportunities and social reactions.

Originality/value

To the authors’ knowledge, this work represents the first study that analyses the Bitcoin response to different events related to COVID-19 and detects the presence of herding behaviour in such a crisis.

中文翻译：

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COVID-19，比特币市场效率，从众行为

目的

与以前的危机不同，投资者倾向于将其资产放到黄金之类的避风港中，而最近的冠状病毒大流行的特点是，被称为风险天堂的比特币购买量有所增加。本文旨在通过关注牛群偏差来分析比特币动态和投资者的反应。因此，这项工作的主要目的是通过多重分形分析来研究效率程度，以便发现牛群行为，从而建立最佳的预测和策略。

设计/方法/方法

本文开发了一种新颖的方法，该方法可以检测草场偏见的存在，并通过使用持久性度量定义的统计指标，通过低效率指数（MLM）评估比特币的低效率。这项研究还通过估计多重分形趋势波动分析（MFDFA）来推断出COVID-19对比特币性能的影响，从而研究了比特币的非线性动力学特性。此外，这项工作还进行了一项事件研究，以捕获由能够分析比特币市场反应的COVID-19相关事件产生的异常变化。

发现

广义Hurst指数GHE估计的经验结果表明，在这种大流行之前，比特币是多重分形的，而在爆发之后，分形则变得较少。使用效率指数（MLM），发现大流行后比特币的效率更高。作者基于Hausdorff拓扑结构，表明这种大流行减少了牛群偏倚。

研究局限/意义

COVID-19疾病的不确定性及其持续时间使得难以做出最佳预测。

实际影响

这项研究的主要贡献是对COVID19爆发后的比特币价值进行评估。这项工作具有实际意义，因为它提供了有关贸易机会和社会反应的新见解。

创意/价值

据作者所知，这项工作代表了第一项研究，该研究分析了比特币对与COVID-19相关的不同事件的响应，并检测了这种危机中的羊群行为。