Nghiên cứu dòng thông tin trên thị trường tiền điện tử: những chi tiết mới từ phương pháp ENTROPY chuyển giao

Abstract

This study uses close daily closing prices to calculate daily returns of Bitcoin and seven major Altcoins that were listed prior to 2018 and have maintained a stable presence in the market up to the time of the study including Dogecoin, Cardano, Ripple, Ethereum, Litecoin, Tron and Binance Coin, covering the period from January 1, 2018, to August 25, 2023. To bemore specific, the authors separate the full sample into four different phases, include overall period from January 1, 2018, to August 25, 2023, Pre-COVID-19 period from January 1, 2018 to December 31, 2019, COVID-19 and pre-collapse of LUNA-UST period from January 1, 2020, to May 7, 2022 and Post-collapse of LUNA-UST period from May 8, 2022, to August 25, 2023. To measure and assess the information flow in the cryptocurrency market, the author utilized transfer entropy for calculations. The study indicates that COVID-19 has had a significant impact on the dynamics of tokens such as Ethereum and Litecoin, affecting both their ability to receive and transmit information effectively. Cardano and Tron also experience disruptions in disseminating information, whereas Dogecoin remains relatively unaffected. Ripple demonstrates almost no discernible impact, while Binance Coin maintains a consistent quantity in both receiving and transmitting information. The study underscores the profound influence of global occurrences, such as the COVID-19 pandemic, and internal market shifts, like the collapse of LUNA-UST, on the dissemination of information across different cryptocurrencies. These occurrences can trigger alterations in information flow, influencing investor sentiment and prudence within the cryptocurrency market. Furthermore, the study highlights the varying levels of resilience and responsiveness exhibited by different cryptocurrencies to such events, with some being more susceptible to pronounced impacts than others.