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

Author

Listed:
  • Pedro Bação

    () (CeBER - Centre for Business and Economics Research)

  • António Portugal Duarte

    () (CeBER - Centre for Business and Economics Research)

  • Hélder Sebastião

    () (CeBER - Centre for Business and Economics Research)

  • Srdjan Redzepagic

    () (University Nice Sophia Antipolis)

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.

Suggested Citation

  • Pedro Bação & António Portugal Duarte & Hélder Sebastião & Srdjan Redzepagic, 2018. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," CeBER Working Papers 2018-06, Centre for Business and Economics Research (CeBER), University of Coimbra.
  • Handle: RePEc:gmf:papers:2018-06
    as

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    More about this item

    Keywords

    bitcoin; cryptocurrencies; causality; Geweke feedback measures; generalized impulse response;

    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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