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

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 ri...

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Detalles Bibliográficos
Autores principales: Assaf, Ata, Charif, Husni, Demir, Ender
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9167943/
https://www.ncbi.nlm.nih.gov/pubmed/35692565
http://dx.doi.org/10.1016/j.frl.2021.102556
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author Assaf, Ata
Charif, Husni
Demir, Ender
author_facet Assaf, Ata
Charif, Husni
Demir, Ender
author_sort Assaf, Ata
collection PubMed
description 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.
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spelling pubmed-91679432022-06-07 Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19 Assaf, Ata Charif, Husni Demir, Ender Financ Res Lett Article 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. Elsevier Inc. 2022-06 2021-11-14 /pmc/articles/PMC9167943/ /pubmed/35692565 http://dx.doi.org/10.1016/j.frl.2021.102556 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Assaf, Ata
Charif, Husni
Demir, Ender
Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19
title Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19
title_full Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19
title_fullStr Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19
title_full_unstemmed Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19
title_short Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19
title_sort information sharing among cryptocurrencies: evidence from mutual information and approximate entropy during covid-19
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9167943/
https://www.ncbi.nlm.nih.gov/pubmed/35692565
http://dx.doi.org/10.1016/j.frl.2021.102556
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