Almeida Dora, Dionísio Andreia, Vieira Isabel, Ferreira Paulo
CEFAGE, IIFA-Center for Advanced Studies in Management and Economics, University of Évora, Largo dos Colegiais 2, 7004-516 Évora, Portugal.
VALORIZA-Research Center for Endogenous Resource Valorization, 7300-555 Portalegre, Portugal.
Entropy (Basel). 2023 Jan 3;25(1):98. doi: 10.3390/e25010098.
Cryptocurrencies 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.
加密货币是相对较新的创新性金融资产。由于其独特的特征,它们成为投资者和学者感兴趣的话题。无论是否属于金融范畴,突发事件都是金融市场面临的最大挑战之一。一些作者认为新冠疫情危机的爆发是“黑天鹅”事件之一。在本研究中,我们使用基于熵的两种测度方法:互信息和转移熵,评估新冠疫情背景下加密货币市场的整合与传染情况。两种方法均显示,加密货币在疫情爆发前后呈现出不同程度的整合。在疫情爆发前整合程度较高的加密货币,在世界知晓武汉市首例肺炎病例后,这种关联有所下降。在传染方面,互信息仅为火币通证提供了传染存在的证据,转移熵分析指出泰达币和火币通证是主要传染源。由于两种分析均表明疫情动荡并未传染至这些金融资产,在发生如新冠疫情爆发引发的实际全球冲击时,加密货币可能是不错的投资选择。