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

Ata Assaf, Husni Charif and Ender Demir

Finance Research Letters, 2022, vol. 47, issue PA

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 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005183

DOI: 10.1016/j.frl.2021.102556

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