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

【Author】 Assaf, Ata; Charif, Husni; Demir, Ender

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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.

【Keywords】Mutual Information; Approximate Entropy; COVID-19 Pandemic; Cryptocurrencies

【发表时间】2022 JUN

【收录时间】2022-07-17

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币