Please use this identifier to cite or link to this item: https://hdl.handle.net/10316/84805
DC FieldValueLanguage
dc.contributor.authorBação, Pedro-
dc.contributor.authorDuarte, António Portugal-
dc.contributor.authorSebastião, Helder-
dc.contributor.authorRedzepagic, Srdjan-
dc.date.accessioned2019-02-01T11:16:34Z-
dc.date.available2019-02-01T11:16:34Z-
dc.date.issued2018-
dc.identifier.issn2501-1960pt
dc.identifier.urihttps://hdl.handle.net/10316/84805-
dc.description.abstractThis 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.pt
dc.language.isoengpt
dc.rightsopenAccesspt
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/pt
dc.subjectBitcoinpt
dc.subjectcryptocurrenciespt
dc.subjectcausalitypt
dc.subjectGeweke feedback measurespt
dc.subjectgeneralized impulse responsept
dc.titleInformation Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?pt
dc.typearticle-
degois.publication.firstPage97pt
degois.publication.lastPage117pt
degois.publication.issue2pt
degois.publication.titleScientific Annals of Economics and Businesspt
dc.peerreviewedyespt
dc.identifier.doi10.2478/saeb-2018-0013pt
degois.publication.volume65pt
dc.date.embargo2018-01-01*
dc.date.periodoembargo0pt
uc.controloAutoridadeSim-
item.fulltextCom Texto completo-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.grantfulltextopen-
item.languageiso639-1en-
item.openairetypearticle-
item.cerifentitytypePublications-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.researchunitCeBER – Centre for Business and Economics Research-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.researchunitCeBER – Centre for Business and Economics Research-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.researchunitCeBER – Centre for Business and Economics Research-
crisitem.author.orcid0000-0002-3340-1068-
crisitem.author.orcid0000-0002-5388-0051-
crisitem.author.orcid0000-0002-1743-6869-
Appears in Collections:I&D CeBER - Artigos em Revistas Internacionais
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