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Information transmission among energy markets, cryptocurrencies, and stablecoins under pandemic conditions

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  • Ghabri, Yosra
  • Ben Rhouma, Oussama
  • Gana, Marjène
  • Guesmi, Khaled
  • Benkraiem, Ramzi

Abstract

This paper investigates the directional causal relationship and information transmission among the returns of West Texas Intermediate (WTI), Brent, major cryptocurrencies, and stablecoins by drawing on daily data from July 2019 to July 2020. Applying effective transfer entropy, a non-parametric statistic, the results show that the direction of the causal relationship and the nature of information spillovers changed after the COVID-19 pandemic. More precisely, our findings reveal that WTI and Brent are leading the prices of Bitcoin and Bitcoin Cash. Conversely, Bitcoin futures and stablecoins (TrueUSD and USD Coin) are leading WTI and Brent prices. In addition, the stablecoin Tether became a leader against Brent prices after the pandemic, although it is still following WTI prices. Moreover, Ethereum and USD coin preserved their position as leaders against Brent prices. Interestingly, our results also reveal that Ethereum, Litecoin, and Ripple preserved their position as leaders of WTI prices. The change in the nature of directional causality and the spillover effect after the COVID-19 crisis provide valuable information for practitioners, investors, and policymakers on how the ongoing pandemic influences the connection and network correlation among the energy, cryptocurrency, and stablecoin markets.

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  • Ghabri, Yosra & Ben Rhouma, Oussama & Gana, Marjène & Guesmi, Khaled & Benkraiem, Ramzi, 2022. "Information transmission among energy markets, cryptocurrencies, and stablecoins under pandemic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001582
    DOI: 10.1016/j.irfa.2022.102197
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    More about this item

    Keywords

    Information transmission; Effective transfer entropy; WTI; Brent; Cryptocurrencies; Stablecoins;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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