Economics at your fingertips  

Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach

Qiang Ji, Elie Bouri (), Rangan Gupta () and David Roubaud

The Quarterly Review of Economics and Finance, 2018, vol. 70, issue C, 203-213

Abstract: We use a data-driven methodology, namely the directed acyclic graph, to uncover the contemporaneous and lagged relations between Bitcoin and other asset classes. The adopted methodology allows us to identify causal networks based on the measurements of observed correlations and partial correlations, without relying on a priori assumptions. Results from the contemporaneous analysis indicate that the Bitcoin market is quite isolated, and no specific asset plays a dominant role in influencing the Bitcoin market. However, we find evidence of lagged relationships between Bitcoin and some assets, especially during the bear market state of Bitcoin. This finding suggests that the integration between the Bitcoin and other financial assets is a continuous process that varies over time. We conduct forecast error variance decompositions and find that the influence of each of the other assets on Bitcoin over a 20-day horizon does not account for more than 11% of all innovations.

Keywords: Bitcoin; Financial assets; Integration; Causality; Directed acyclic graph (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-06-16
Handle: RePEc:eee:quaeco:v:70:y:2018:i:c:p:203-213