HAS THE COVID-19 PANDEMIC AFFECTED THE FLOW OF INFORMATION AMONG CRYPTOCURRENCIES?

【Author】 Do Nascimento, Kerolly Kedma Felix; Dos Santos, Fabio Sandro; Jale, Jader Silva; Xavier Junior, Silvio Fernando Alves; Ferreira, Tiago A. E.

【Source】FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY

【影响因子】4.555

【Abstract】In this paper, we investigated the impact of the COVID-19 pandemic on the cryptocurrency market. The direction of information transfer between the 67 digital cryptocurrency markets was evaluated, in particular Bitcoin, Ethereum, Litecoin, and Ripple, and we determined which of them were the most influential in the markets. The comparison of the first half of 2019 (outside the pandemic of COVID-19) against the first semester of 2020 (during the COVID-19 pandemic) was used to analyze the pandemic influence. We found two distinct behaviors: (i) in 2019, Bitcoin, as the primary capitalization bond, presented a more substantial transfer of information than the other cryptocurrencies toward Bitcoin -> Ripple (0.0541), followed by Litecoin -> Ripple (0.0522); (ii) in 2020, the most substantial transfers of information occurred from Ethereum to other cryptocurrencies (Litecoin, Bitcoin, and Ripple, in that order). In this period, the weakest transfers happened from Litecoin Ripple and in the opposite direction, with equal value (0.0104). Our results indicate that there was a change in the direction of the information flow between the investigated cryptocurrencies, where ETH became the dominant cryptocurrency during the period of turbulence caused by the COVID-19 pandemic.

【Keywords】Digital Markets; Direction; Transfer Entropy; Pandemic; Coronavirus

【发表时间】

【收录时间】2022-09-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析