COVID-19 and information flow between cryptocurrencies, and conventional financial assets

【Author】 Assaf, Ata; Mokni, Khaled; Youssef, Manel

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】In this paper, we analyze the impact of the ongoing COVID-19 pandemic on the information flow among the main cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin) and those of the fear index (VIX), Gold price, and the US equity market (S&P500). We use the transfer entropy measure to determine the in-formation flow by allowing for nonlinear dynamics and extreme tail values in the series. Our results indicate that information flow and sharing have changed during the COVID-19 pandemic with the following main findings: i) cryptocurrencies show more correlation with VIX, Gold, and the US equity markets during the COVID-19 period; ii) Gold and VIX maintain their position as safe hedging tools against the pandemic; iii) during COVID-19, S&P500 is the dominant flow transmitter to the four cryptocurrencies, and iv) Ripple plays the dominant role of information flow to VIX, Gold, and S & P500.(c) 2023 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

【Keywords】Cryptocurrencies; COVID-19; VIX; S& P500; Gold price; Transfer entropy

【发表时间】2023 JUN

【收录时间】2023-07-10

【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