COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches
Autor(a) principal: | |
---|---|
Data de Publicação: | 2023 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10174/35621 https://doi.org/Almeida, D., Dionísio, A., Vieira, I, Ferreira, P. “COVID-19 Effects on the Relationship Between Cryptocurrencies: can it be Contagion? Insights from Econophysics Approaches”., Entropy, 25, 98. https://doi.org/10.3390/e25010098 https://doi.org/10.3390/e25010098 |
Resumo: | Cryptocurrencies are relatively new and innovative financial assets. They are a topic of interest to investors and academics due to their distinctive features. Whether financial or not, extraordinary events are one of the biggest challenges facing financial markets. The onset of the COVID-19 pandemic crisis, considered by some authors a “black swan”, is one of these events. In this study, we assess integration and contagion in the cryptocurrency market in the COVID-19 pandemic context, using two entropy-based measures: mutual information and transfer entropy. Both methodologies reveal that cryptocurrencies exhibit mixed levels of integration before and after the onset of the pandemic. Cryptocurrencies displaying higher integration before the event experienced a decline in such link after the world became aware of the first cases of pneumonia in Wuhan city. In what concerns contagion, mutual information provided evidence of its presence solely for the Huobi Token, and the transfer entropy analysis pointed out Tether and Huobi Token as its main source. As both analyses indicate no contagion from the pandemic turmoil to these financial assets, cryptocurrencies may be good investment options in case of real global shocks, such as the one provoked by the COVID-19 outbreak. |
id |
RCAP_1dc67eef360787f316d0ad81f5499335 |
---|---|
oai_identifier_str |
oai:dspace.uevora.pt:10174/35621 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approachescontagioncryptocurrenciesintegrationmutual informationtransfer entropyCryptocurrencies are relatively new and innovative financial assets. They are a topic of interest to investors and academics due to their distinctive features. Whether financial or not, extraordinary events are one of the biggest challenges facing financial markets. The onset of the COVID-19 pandemic crisis, considered by some authors a “black swan”, is one of these events. In this study, we assess integration and contagion in the cryptocurrency market in the COVID-19 pandemic context, using two entropy-based measures: mutual information and transfer entropy. Both methodologies reveal that cryptocurrencies exhibit mixed levels of integration before and after the onset of the pandemic. Cryptocurrencies displaying higher integration before the event experienced a decline in such link after the world became aware of the first cases of pneumonia in Wuhan city. In what concerns contagion, mutual information provided evidence of its presence solely for the Huobi Token, and the transfer entropy analysis pointed out Tether and Huobi Token as its main source. As both analyses indicate no contagion from the pandemic turmoil to these financial assets, cryptocurrencies may be good investment options in case of real global shocks, such as the one provoked by the COVID-19 outbreak.MDPI2023-10-27T09:57:41Z2023-10-272023-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/35621https://doi.org/Almeida, D., Dionísio, A., Vieira, I, Ferreira, P. “COVID-19 Effects on the Relationship Between Cryptocurrencies: can it be Contagion? Insights from Econophysics Approaches”., Entropy, 25, 98. https://doi.org/10.3390/e25010098http://hdl.handle.net/10174/35621https://doi.org/10.3390/e25010098pordora.almeida@uevora.ptandreia@uevora.ptimpvv@uevora.ptpjsf@uevora.ptAlmeida, DoDionisio, AndreiaVieira, IsabelFerreira, Pauloinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:39:26Zoai:dspace.uevora.pt:10174/35621Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:23:59.836327Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
title |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
spellingShingle |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches Almeida, Do contagion cryptocurrencies integration mutual information transfer entropy |
title_short |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
title_full |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
title_fullStr |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
title_full_unstemmed |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
title_sort |
COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches |
author |
Almeida, Do |
author_facet |
Almeida, Do Dionisio, Andreia Vieira, Isabel Ferreira, Paulo |
author_role |
author |
author2 |
Dionisio, Andreia Vieira, Isabel Ferreira, Paulo |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Almeida, Do Dionisio, Andreia Vieira, Isabel Ferreira, Paulo |
dc.subject.por.fl_str_mv |
contagion cryptocurrencies integration mutual information transfer entropy |
topic |
contagion cryptocurrencies integration mutual information transfer entropy |
description |
Cryptocurrencies are relatively new and innovative financial assets. They are a topic of interest to investors and academics due to their distinctive features. Whether financial or not, extraordinary events are one of the biggest challenges facing financial markets. The onset of the COVID-19 pandemic crisis, considered by some authors a “black swan”, is one of these events. In this study, we assess integration and contagion in the cryptocurrency market in the COVID-19 pandemic context, using two entropy-based measures: mutual information and transfer entropy. Both methodologies reveal that cryptocurrencies exhibit mixed levels of integration before and after the onset of the pandemic. Cryptocurrencies displaying higher integration before the event experienced a decline in such link after the world became aware of the first cases of pneumonia in Wuhan city. In what concerns contagion, mutual information provided evidence of its presence solely for the Huobi Token, and the transfer entropy analysis pointed out Tether and Huobi Token as its main source. As both analyses indicate no contagion from the pandemic turmoil to these financial assets, cryptocurrencies may be good investment options in case of real global shocks, such as the one provoked by the COVID-19 outbreak. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-10-27T09:57:41Z 2023-10-27 2023-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10174/35621 https://doi.org/Almeida, D., Dionísio, A., Vieira, I, Ferreira, P. “COVID-19 Effects on the Relationship Between Cryptocurrencies: can it be Contagion? Insights from Econophysics Approaches”., Entropy, 25, 98. https://doi.org/10.3390/e25010098 http://hdl.handle.net/10174/35621 https://doi.org/10.3390/e25010098 |
url |
http://hdl.handle.net/10174/35621 https://doi.org/Almeida, D., Dionísio, A., Vieira, I, Ferreira, P. “COVID-19 Effects on the Relationship Between Cryptocurrencies: can it be Contagion? Insights from Econophysics Approaches”., Entropy, 25, 98. https://doi.org/10.3390/e25010098 https://doi.org/10.3390/e25010098 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
dora.almeida@uevora.pt andreia@uevora.pt impvv@uevora.pt pjsf@uevora.pt |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
MDPI |
publisher.none.fl_str_mv |
MDPI |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799136722356797440 |