Information Transmission Between Cryptocurrencies:
Does Bitcoin Rule the Cryptocurrency World?
Information Transmission Between Cryptocurrencies:
Does Bitcoin Rule the Cryptocurrency World?
Author(s): Pedro Bação, António Portugal Duarte, Helder Sebastião, Srdjan RedzepagicSubject(s): Economy, Supranational / Global Economy, Financial Markets, ICT Information and Communications Technologies
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Bitcoin; cryptocurrencies; causality; Geweke feedback measures; generalized impulse response;
Summary/Abstract: This paper investigates the information transmission between the most important cryptocurrencies - Bitcoin, Litecoin, Ripple, Ethereum and Bitcoin Cash. We use a VAR modelling approach, upon which the Geweke’s feedback measures and generalized impulse response functions are computed. This methodology allows us to fully characterize the direction, intensity and persistence of information flows between cryptocurrencies. At the available data granularity, most of information transmission is contemporaneous, that is, it occurs within a day. However, it seems that there are some lagged feedback effects, mainly from other cryptocurrencies to Bitcoin. The generalized impulse-response functions confirm that there is a strong contemporaneous correlation and that there is not much evidence of lagged effects. The exception appears to be related to the overreaction of Bitcoin returns to contemporaneous shocks.
Journal: Scientific Annals of Economics and Business
- Issue Year: 65/2018
- Issue No: 2
- Page Range: 97-117
- Page Count: 21
- Language: English