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- Publisher
- de Gruyter
- Copyright
- © 2018 Pedro Bação et al., published by Sciendo
- eISSN
- 2501-3165
- DOI
- 10.2478/saeb-2018-0013
- Publisher site
- See Article on Publisher Site
Abstract
AbstractThis 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.
Journal
Scientific Annals of Economics and Business – de Gruyter
Published: Jun 1, 2018