COVID-19 and information flow between cryptocurrencies, and conventional financial assets.

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.

Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic.

The paper examines the dynamic spillover among traditional currencies and cryptocurrencies before and during the COVID-19 pandemic and investigates whether economic policy uncertainty (EPU) impacts this spillover. Based on the TVP-VAR approach, we find evidence of spillover effects among currencies, which increased widely during the pandemic. In addition, results suggest that almost all cryptocurrencies remain as "safe-haven" tools against market uncertainty during the COVID-19 period. Moreover, comparative analysis shows that the total connectedness for cryptocurrencies is lower than for traditional currencies during the crisis. Further analysis using quantile regression suggests that EPU exerts an impact on the total and the net spillovers with different degrees across currencies and this impact is affected by the health crisis. Our findings have important policy implications for policymakers, investors, and international traders.

When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic.

This paper examines the dynamic spillovers among the major cryptocurrencies under different market conditions and accounts for the ongoing COVID-19 health crisis. We also investigate whether cryptocurrency policy (CCPO) uncertainty and cryptocurrency price (CCPR) uncertainty affect the dynamic connectedness. We adopt the Quantile-VAR approach to capture the left and right tails of the distributions corresponding to return spillovers under different market conditions. Generally, cryptocurrencies show heterogeneous responses to the occurrence of the COVID-19 pandemic. We find that the total spillover index (TCI) varies across quantiles and rises widely during extreme market conditions, with a noticeable impact of the COVID-19 pandemic. Bitcoin lost its position as a dominant "hedger" during the health crisis, while Litecoin became the most dominant "hedger" and/or "safe-haven" asset before and during the pandemic period. Moreover, our analysis shows a significant impact of market uncertainties on total and net connectedness among the five cryptocurrencies. We argue that the COVID-19 pandemic crisis plays a vital role on the relationship between CCPO as well as CCPR and the dynamic connectedness across all market conditions.

Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19.

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.