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

Pedro Bação, António Portugal Duarte, Helder Sebastião and Srdjan Redzepagic ()
Additional contact information
Srdjan Redzepagic: University Nice Sophia Antipolis

No 2018-06, CeBER Working Papers from Centre for Business and Economics Research (CeBER), University of Coimbra

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 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)
Pages: 40 pages
Date: 2018-06
New Economics Papers: this item is included in nep-mon and nep-pay
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.uc.pt/en/uid/ceber/WorkingPapers/wp/wp_2018/sextowp (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Journal Article: Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World? (2018)
Journal Article: Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World? (2018)
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: https://EconPapers.repec.org/RePEc:gmf:papers:2018-06

Access Statistics for this paper

More papers in CeBER Working Papers from Centre for Business and Economics Research (CeBER), University of Coimbra Contact information at EDIRC.
Bibliographic data for series maintained by Sofia Antunes ().