Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

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

Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World? 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Scientific Annals of Economics and Business de Gruyter

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

Loading next page...
 
/lp/de-gruyter/information-transmission-between-cryptocurrencies-does-bitcoin-rule-5x3eAO6hDo
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 Businessde Gruyter

Published: Jun 1, 2018

There are no references for this article.