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

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  • Assaf, Ata
  • Charif, Husni
  • Demir, Ender

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.

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  • Assaf, Ata & Charif, Husni & Demir, Ender, 2022. "Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19," Finance Research Letters, Elsevier, vol. 47(PA).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005183
    DOI: 10.1016/j.frl.2021.102556
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