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

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  • Bação Pedro

    (Centre for Business and Economics Research (CeBER), Grupo de Estudos Monetários e Financeiros (GEMF), Faculty of Economics, University of Coimbra, Portugal;)

  • Duarte António Portugal

    (Centre for Business and Economics Research (CeBER), Grupo de Estudos Monetários e Financeiros (GEMF), Faculty of Economics, University of Coimbra, Portugal;)

  • Sebastião Helder

    (Centre for Business and Economics Research (CeBER), Grupo de Estudos Monetários e Financeiros (GEMF), Faculty of Economics, University of Coimbra, Portugal;)

  • Redzepagic Srdjan

    (University Nice Sophia Antipolis, France;)

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.

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  • Bação Pedro & Duarte António Portugal & Sebastião Helder & Redzepagic Srdjan, 2018. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," Scientific Annals of Economics and Business, Sciendo, vol. 65(2), pages 97-117, June.
    • Handle: RePEc:vrs:aicuec:v:65:y:2018:i:2:p:97-117:n:7
    DOI: 10.2478/saeb-2018-0013
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    More about this item

    Keywords

    Bitcoin; cryptocurrencies; causality; Geweke feedback measures; generalized impulse response;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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