Information flow between bitcoin and other financial assets
Kwahngsoo Jang and
Physica A: Statistical Mechanics and its Applications, 2021, vol. 566, issue C
Since bitcoin launched in 2009, its popularity has soared, with global trading volume reaching 203.1 billion dollars as of August 2019. Given the trend that bitcoin is increasingly recognized as an investment asset, we analyzed its relationship with other financial assets. We found significant flows of information between bitcoin and exchange rates in most countries. Further, we observed a directional pattern in information flow according to the economic conditions in each country (i.e., developed and emerging markets). The results showed that bitcoin responded more strongly to the exchange rates and stocks in developed markets than in emerging markets.
Keywords: Transfer entropy; Information flow; Bitcoin; Financial assets (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030902x
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().