Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/84805
Title: Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?
Authors: Bação, Pedro 
Duarte, António Portugal 
Sebastião, Helder 
Redzepagic, Srdjan 
Keywords: Bitcoin; cryptocurrencies; causality; Geweke feedback measures; generalized impulse response
Issue Date: 2018
Serial title, monograph or event: Scientific Annals of Economics and Business
Volume: 65
Issue: 2
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 the available data granularity, most of information transmission is contemporaneous, that is, it occurs within a day. 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.
URI: http://hdl.handle.net/10316/84805
ISSN: 2501-1960
DOI: 10.2478/saeb-2018-0013
Rights: openAccess
Appears in Collections:I&D CeBER - Artigos em Revistas Internacionais

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