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COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches

2023-01Journal article Open access
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dc.contributor.authorDora Almeida
dc.contributor.authorAndreia Dionísio
dc.contributor.authorIsabel Vieira
dc.contributor.authorPaulo Ferreira
dc.date.accessioned2025-01-14T10:29:52Z
dc.date.available2025-01-14T10:29:52Z
dc.date.issued2023-01
dc.date.updated2025-01-04T14:28:07Z
dc.description.abstractCryptocurrencies 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.3390/e25010098pt_PT
dc.identifier.slugcv-prod-3155609
dc.identifier.urihttp://hdl.handle.net/10400.26/53785
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
dc.subjectcontagionpt_PT
dc.subjectcryptocurrenciespt_PT
dc.subjectintegrationpt_PT
dc.subjectmutual informationpt_PT
dc.subjecttransfer entropypt_PT
dc.titleCOVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approachespt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/Concurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017%2F2018) - Financiamento Base/UIDB%2F05064%2F2020/PT
oaire.citation.titleEntropypt_PT
oaire.fundingStreamConcurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017/2018) - Financiamento Base
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.cv.cienciaid181D-7395-0348 | Dora Maria Fortes de Almeida
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isProjectOfPublication0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd
relation.isProjectOfPublication.latestForDiscovery0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd

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