Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?

Scientific Annals of Economics and Business

Duarte António Portugal¹  Redzepagic Srdjan¹  Sebastião Helder²  Bação Pedro² 

[1] ;Centre for Business and Economics Research (CeBER), Grupo de Estudos Monetários e Financeiros (GEMF), Faculty of Economics, University of Coimbra, Portugal;

关键词: Bitcoin;    cryptocurrencies;    causality;    Geweke feedback measures;    generalized impulse response;    G12;    G14;    G15;   

DOI  :  10.2478/saeb-2018-0013

来源: DOAJ

【 摘 要 】

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 this data granularity, most of information transmission is contemporaneous. 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.

【 授权许可】

Unknown