No, it does not affect the encryption.
A chain of self-signed certificates can help make a connection more secure, but that's just because it makes certificate handling in your organisation easier and therefore more likely to work correctly without having the browser ask for user intervention, NOT because the strength of the encryption increases.
Certificates are used to make sure that the public key you receive from the server really does belong to the server, and not to a Malory, who sits somewhere in the middle between you and the server.
If you use just a single self-signed certificate, your browser will complain that the authenticy of the certificate can't be established. You'll get exactly the same warning message when Malory replaces your certificate with his own, so if you're using self-signed certificates, you can't readily distinguish between normal operation and a mitm attack.
You can add your private certificate to the browser or os certificate store to make the browser accept it, but managing certificate renewal, replacement etc is a pain if you do it like this in contexts where you have even just ten or twenty machines to support.
So a solution that requires less effort is to add a private root certificate instead, which you'll need to touch much less often. Certificate handling becomes easier, which means it can be done with less effort, which means it's more likely to be done correctly, or at all, which means users are less likely to see browser warnings for untrusted certificates they'll just click away. So in a roundabout way, I'd say there are security advantages in using a chain of self-signed certificates in a context where you are resonsible for the upkeep of a number of machines that need access to your resource.
Of course, if anyone gets access to your private certificate authority, you've just given them potential access to every ssl-encrypted connection your users make, so there's serious disadvantages too.
Generally, however, there's really no reason why you should self-sign certificates, unless you have trust issues with the default certificate authoriities. Lets Encrypt gives you free certificates that work in every browser, out of the box.