Abstract
Blockchain exchange-traded funds (ETFs) are nascent products in the financial industry. A limited literature focuses on the multifractal analysis of some conventional ETFs, but the multifractal behaviour of the blockchain ETF market has not been studied. In this paper, we investigate the multifractal and asymmetric cross-correlation features between blockchain ETFs and the cryptocurrency and Nasdaq markets. Multifractality exists in the cross-correlations between blockchain ETFs and the cryptocurrency and Nasdaq markets. There is a higher persistence in the cross-correlation behaviours between blockchain ETFs and cryptocurrencies in the uptrend, whereas the persistence between blockchain ETFs and Nasdaq is more pronounced in the downtrend. On one hand, this suggests that large fluctuations in the cryptocurrency markets lead to large fluctuations in blockchain ETF markets. On the other hand, large fluctuations in the Nasdaq index lead to small fluctuations in blockchain ETF markets. These results reflect stronger ties between blockchain ETFs and cryptocurrencies compared to blockchain ETFs and the Nasdaq index. Such heterogeneous behaviour in the cross-correlation structure provides insights for short-term investment, hedging strategies, and market efficiency. Further analysis shows that long-range cross-correlation and fat-tail distributions are sources of multifractality.
Published Version
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