Assaf Ata, Mokni Khaled, Youssef Manel
Faculty of Business and Management, University of Balamand, P.O.Box: 100 Tripoli, Lebanon.
Cyprus International Institute of Management (CIIM), P. O. Box 20378, 2151 Nicosia, Cyprus.
Q Rev Econ Finance. 2023 Jun;89:73-81. doi: 10.1016/j.qref.2023.02.010. Epub 2023 Feb 28.
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.
在本文中，我们分析了当前新冠疫情对主要加密货币（比特币、以太坊、瑞波币和莱特币）与恐慌指数（VIX）、黄金价格以及美国股票市场（标准普尔500指数）之间信息流的影响。我们使用转移熵测度来确定信息流，该方法考虑了序列中的非线性动态和极端尾部值。我们的结果表明，在新冠疫情期间，信息流和信息共享发生了变化，主要发现如下：i）在新冠疫情期间，加密货币与VIX、黄金和美国股票市场的相关性更高；ii）黄金和VIX保持其作为应对疫情的安全避险工具的地位；iii）在新冠疫情期间，标准普尔500指数是向四种加密货币传递信息流的主导者，并且iv）瑞波币在向VIX、黄金和标准普尔500指数传递信息流方面发挥着主导作用。
