Are demand shocks in Bitcoin contagious?

Damian Zięba () and Katarzyna Śledziewska
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Damian Zięba: Faculty of Economic Sciences, University of Warsaw

No 2018-17, Working Papers from Faculty of Economic Sciences, University of Warsaw

Abstract: The main aim of this paper is to examine interdependencies between prices of cryptocurrencies, with the special focus on Bitcoin. The analysis is conducted in two stages and results are compared between two consequent sub-periods. In order to analyze topological properties of cryptocurrency market, the Minimum-Spanning Tree technique is used. Results indicate that Bitcoin plays one of the most important roles in the cryptocurrency market, while other cryptocurrencies form clusters and such forming has a sensible economic interpretation. In the second stage, main cryptocurrencies from each of formed clusters are analyzed using the Vector Autoregression methodology. The results from VAR (1) indicate that demand shocks in Bitcoin price are not contagious to other cryptocurrencies, while some interdependencies within the formed clusters may be observed. Overall, results indicate that conclusions drawn from the analysis of Bitcoin shall not be generalized to the entire cryptocurrency market.

Keywords: cryptocurrency market; Bitcoin; Minimum-Spanning Tree; Vector Autoregression (search for similar items in EconPapers)
JEL-codes: C32 G11 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2018
New Economics Papers: this item is included in nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:war:wpaper:2018-17

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