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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/35621
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Title: | COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
Authors: | Almeida, Do Dionisio, Andreia Vieira, Isabel Ferreira, Paulo |
Keywords: | contagion cryptocurrencies integration mutual information transfer entropy |
Issue Date: | 2023 |
Publisher: | MDPI |
Citation: | Almeida, D., Dionísio, A., Vieira, I, Ferreira, P. “COVID-19 Effects on the Relationship Between Cryptocurrencies: can it be Contagion? Insights from Econophysics Approaches”., Entropy, 25, 98. https://doi.org/10.3390/e25010098 |
Abstract: | Cryptocurrencies are relatively new and innovative financial assets. They are a topic
of interest to investors and academics due to their distinctive features. Whether financial or not,
extraordinary events are one of the biggest challenges facing financial markets. The onset of the
COVID-19 pandemic crisis, considered by some authors a “black swan”, is one of these events.
In this study, we assess integration and contagion in the cryptocurrency market in the COVID-19
pandemic context, using two entropy-based measures: mutual information and transfer entropy. Both
methodologies reveal that cryptocurrencies exhibit mixed levels of integration before and after the
onset of the pandemic. Cryptocurrencies displaying higher integration before the event experienced
a decline in such link after the world became aware of the first cases of pneumonia in Wuhan city.
In what concerns contagion, mutual information provided evidence of its presence solely for the
Huobi Token, and the transfer entropy analysis pointed out Tether and Huobi Token as its main
source. As both analyses indicate no contagion from the pandemic turmoil to these financial assets,
cryptocurrencies may be good investment options in case of real global shocks, such as the one
provoked by the COVID-19 outbreak. |
URI: | http://hdl.handle.net/10174/35621 |
Type: | article |
Appears in Collections: | CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
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