Based on high-frequency data, we study the difference in cryptocurrency market before and during the COVID-19. We analyze the multifractality of three major cryptocurrencies via the multifractal detrended fluctuation analysis (MFDFA). To investigate the source of multifractality, we construct shuffled, surrogated and truncate data. The results show that market efficiency of cryptocurrency has decreased during COVID-19. The cryptocurrency multifractal characteristics mainly come from non-Gaussian distribution. Additionally, the components of multifractal nature have changed during the pandemic. The results provide evidence for the impact of COVID-19 on cryptocurrency market.

中文翻译：

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COVID-19 之前和期间加密货币的多重分形行为

基于高频数据，我们研究了 COVID-19 之前和期间加密货币市场的差异。我们通过多重分形去趋势波动分析（MFDFA）分析了三种主要加密货币的多重分形。为了研究多重分形的来源，我们构建了混洗、替代和截断数据。结果表明，在 COVID-19 期间，加密货币的市场效率有所下降。加密货币的多重分形特征主要来自非高斯分布。此外，在大流行期间，多重分形性质的组成部分发生了变化。结果为 COVID-19 对加密货币市场的影响提供了证据。