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

Ata Assaf; Husni Charif; Ender Demir

doi:10.1016/j.frl.2021.102556

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

Financ Res Lett. 2022 Jun:47:102556. doi: 10.1016/j.frl.2021.102556. Epub 2021 Nov 14.

Authors

Ata Assaf^{1

2}, Husni Charif¹, Ender Demir^{3

4}

Affiliations

¹ Faculty of Business and Management, University of Balamand, P.O.Box: 100 Tripoli, Lebanon.
² Cyprus International Institute of Management (CIIM), 2151 Nicosia, P. O. Box 20378, Cyprus.
³ Department of Business Administration, School of Social Sciences, Reykjavik University, Reykjavik, Iceland.
⁴ Istanbul Medeniyet University, Istanbul, Turkey.

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: Approximate Entropy; COVID-19 Pandemic; Cryptocurrencies; Mutual Information.