Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19


Assaf A., Charif H., Demir E.

FINANCE RESEARCH LETTERS, vol.47, 2022 (Peer-Reviewed Journal) identifier identifier identifier

  • Publication Type: Article / Article
  • Volume: 47
  • Publication Date: 2022
  • Doi Number: 10.1016/j.frl.2021.102556
  • Journal Name: FINANCE RESEARCH LETTERS
  • Journal Indexes: Social Sciences Citation Index, Scopus, ABI/INFORM
  • Keywords: Mutual Information, Approximate Entropy, COVID-19 Pandemic, Cryptocurrencies, MARKET, BITCOIN, CONNECTEDNESS, DYNAMICS, RETURNS, NETWORK

Abstract

In this paper, we use mutual information approach to investigate the information sharing between cryptocurrencies during the COVID-19 crisis. We also use the approximate entropy to study their dynamics before COVID-19 and during the pandemic. Results from the mutual information measure indicate a rise in information sharing and ordering in the cryptocurrency markets in the pandemic period, while the evidence from the approximate entropy estimates indicates a rise in randomness during the COVID-19 period. Our results provide new insights on the information sharing of cryptocurrencies and their reaction to shocks such as the COVID-19 pandemic.