Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?
António Portugal Duarte (),
Helder Sebastião () and
Redzepagic Srdjan ()
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Redzepagic Srdjan: University Nice Sophia Antipolis, France;
Scientific Annals of Economics and Business, 2018, vol. 65, issue 2, 97-117
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 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.
Keywords: Bitcoin; cryptocurrencies; causality; Geweke feedback measures; generalized impulse response (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
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Working Paper: Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World? (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:aicuec:v:65:y:2018:i:2:p:97-117:n:7
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