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COVID-19 and information flow between cryptocurrencies, and conventional financial assets
Ata Assaf1,2, Khaled Mokni3, Manel Youssef4
1Faculty of Business and Management, University of Balamand, P.O.Box: 100 Tripoli, Lebanon.
The Quarterly Review of Economics and Finance : Journal of the Midwest Economics Association
|March 13, 2023
Summary
The COVID-19 pandemic increased information flow between cryptocurrencies, VIX, Gold, and S&P500. Cryptocurrencies became more correlated with these assets, with S&P500 dominating information transmission.
Area of Science:
- * Financial Markets Analysis
- * Econometrics
- * Pandemic Impact Studies
Background:
- * The COVID-19 pandemic significantly disrupted global financial markets.
- * Understanding information flow dynamics is crucial for financial stability.
- * Cryptocurrencies' role in financial markets during crises warrants investigation.
Purpose of the Study:
- * To analyze the impact of the COVID-19 pandemic on information flow.
- * To assess changes in interdependencies between cryptocurrencies and traditional financial assets.
- * To identify dominant information transmitters and receivers during the pandemic.
Main Methods:
- * Utilized transfer entropy to quantify information flow.
- * Analyzed nonlinear dynamics and extreme tail values in financial time series.
- * Examined Bitcoin, Ethereum, Ripple, Litecoin, VIX, Gold, and S&P500.
Main Results:
- * Increased correlation between cryptocurrencies and VIX, Gold, and S&P500 during COVID-19.
- * Gold and VIX confirmed their roles as safe-haven assets.
- * S&P500 emerged as the primary information transmitter to cryptocurrencies.
- * Ripple significantly influenced information flow to VIX, Gold, and S&P500.
Conclusions:
- * The COVID-19 pandemic altered information flow patterns in financial markets.
- * Safe-haven assets (Gold, VIX) remained resilient.
- * Equity markets (S&P500) and specific cryptocurrencies (Ripple) played key roles in information transmission during the crisis.
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