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Title: COVID-19 and information flow between cryptocurrencies, and conventional financial assets
Authors: Assaf, Ata 
Mokni, Khaled
Youssef, Manel
Affiliations: Department of Business Administration 
Keywords: COVID-19
Gold price
Transfer entropy
Issue Date: 2023-06
Publisher: National Library of Medicine
Part of: Quarterly Review of Economics and Finance
Volume: 89
Start page: 73
End page: 81
In this paper, we analyze the impact of the ongoing COVID-19 pandemic on the information flow among the main cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin) and those of the fear index (VIX), Gold price, and the US equity market (S&P500). We use the transfer entropy measure to determine the information flow by allowing for nonlinear dynamics and extreme tail values in the series. Our results indicate that information flow and sharing have changed during the COVID-19 pandemic with the following main findings: i) cryptocurrencies show more correlation with VIX, Gold, and the US equity markets during the COVID-19 period; ii) Gold and VIX maintain their position as safe hedging tools against the pandemic; iii) during COVID-19, S&P500 is the dominant flow transmitter to the four cryptocurrencies, and iv) Ripple plays the dominant role of information flow to VIX, Gold, and S&P500.
ISSN: 1062-9769
DOI: 10.1016/j.qref.2023.02.010
Open URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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