COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches.

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.

Uncertainty and Risk in the Cryptocurrency Market

Cryptocurrency investments are often perceived as uncertain and risky. In this study, we assessed if this is indeed the case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the life of these relatively new financial assets, the COVID-19 pandemic. Uncertainty was evaluated using Shannon's symbolic entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether, the analyzed cryptocurrencies' returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis, uncertainty increased while risk decreased, suggesting that the considered assets may have safe haven properties.

A Giant Falls: The Impact of Evergrande on Asian Stock Indexes

The economic growth of China has been driven by the development of its real estate market, especially after the 2008 crisis. This growth is mostly related to the huge housing bubble and growing amounts of sovereign debt that have been redirected to corporations in the sector. Evergrande is one of those corporations;it is a Chinese company in the construction and real estate sector, a global giant with investments in many parts of the world. Its bond default in September 2021 sounded alerts in financial markets. Several news outlets spoke of the “next Lehman Brothers”, and apprehension was very high, especially in Asian markets. This research work aims to evaluate the impact of Evergrande’s bond default on six Asian stock markets, using an event study approach. The results show a strong reaction from the markets towards the event in study, even anticipating it. Furthermore, it is worth mentioning a quick reversion to “normal” behavior, indicating the rapid absorption of information by the markets.

Nonlinear nexus between cryptocurrency returns and COVID-19 COVID-19 news sentiment.

The paper examines how various COVID-19 COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 COVID-19 news sentiment. Results show that COVID-19 COVID-19 news sentiment influences cryptocurrency returns. The nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings. These results have practical implications for policymakers and market participants in understanding cryptocurrency market dynamics under extremely stressful market conditions. .

Energy markets – who are the influencers?

The energy markets have recently undergone important transformations (e.g. deregulation, technological progress, renewable energy deployment and changing energy consumer behaviour) and witnessed a variety of crisis periods, affecting the relationships among energy commodities and their interactions with clean energy indices. This has implications for price discovery, asset allocation and risk management, which requires in-depth analysis to uncover and identify which energy indices (or forms of energy) lead others or are the most influential, while accounting for asymmetry and non-linearity characteristics. To uncover the complex structure of the relationship across the returns of seven different energy commodities and two clean energy stock indices, we apply Granger causality and transfer entropy in both static and dynamic approaches. The results from the Granger causality analysis identify the influence of the other energy products on natural gas, whereas the transfer entropy analysis reveals the importance of WTI oil and the influence of clean energy indices. Diesel is the most influenced energy commodity. A rolling windows analysis confirms those findings and shows evidence of a time-variation that reflects the impacts of crisis periods, especially the pandemic, on the dynamics of relationships.

Are Mobility and COVID-19 Related? A Dynamic Analysis for Portuguese Districts.

In this research work, we propose to assess the dynamic correlation between different mobility indices, measured on a daily basis, and the new cases of COVID-19 in the different Portuguese districts. The analysis is based on global correlation measures, which capture linear and non-linear relationships in time series, in a robust and dynamic way, in a period without significant changes of non-pharmacological measures. The results show that mobility in retail and recreation, grocery and pharmacy, and public transport shows a higher correlation with new COVID-19 cases than mobility in parks, workplaces or residences. It should also be noted that this relationship is lower in districts with lower population density, which leads to the need for differentiated confinement policies in order to minimize the impacts of a terrible economic and social crisis.