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

Pedro Bação, António Portugal Duarte, Helder Sebastião and Srdjan Redzepagic
Authors registered in the RePEc Author Service: Helder Miguel Correia Virtuoso Sebastião

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2018, vol. 65, issue 2, 97 - 117

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. JEL Codes - G10; G14; G15

Keywords: Bitcoin; cryptocurrencies; causality; Geweke feedback measures; generalized impulse response (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Journal Article: Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World? (2018)
Working Paper: Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World? (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:aic:saebjn:v:65:y:2018:i:2:p:97-117:n:107

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