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

Kerolly Kedma Felix Do Nascimento, Fã Bio Sandro Dos Santos (), Jader Silva Jale (), LVIO FERNANDO ALVES XAVIER JÚNIOR Sã () and Tiago A. E. Ferreira ()
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Kerolly Kedma Felix Do Nascimento: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil
Fã Bio Sandro Dos Santos: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil
Jader Silva Jale: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil
LVIO FERNANDO ALVES XAVIER JÚNIOR Sã: ��Department of Statistics, State University of Paraíba, Rua Baraúnas, No. 351, Bodocongó, Campina Grande/PB 58109-753, Campina Grande, Paraíba, Brazil
Tiago A. E. Ferreira: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil

FRACTALS (fractals), 2022, vol. 30, issue 06, 1-11

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 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S0218348X22500992

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