 Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approachQiang 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) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:70:y:2018:i:c:p:203-213 DOI: 10.1016/j.qref.2018.05.016 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 |
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