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Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19
Ata Assaf1,2, Husni Charif1, Ender Demir3,4
1Faculty of Business and Management, University of Balamand, P.O.Box: 100 Tripoli, Lebanon.
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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