Does Bitcoin dominate the price discovery of the Cryptocurrencies market? A time-varying information share analysis

【Author】 Chang, Le; Shi, Yanlin

【Source】OPERATIONS RESEARCH LETTERS

【影响因子】1.151

【Abstract】Using a time-varying vector error correction model (VECM), we examine the dynamic information shares of the top four Cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) over 1/1/2016-31/12/2019. Although steadily decreasing, the information share of BTC is still the largest as of end-2019. The individual dominances of market capitalization and trading volume can explain 20% of variations of the BTC information share but only 6% of those for ETH. (C) 2020 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrencies; Price discovery; Information share; Time-varying VECM

【发表时间】2020 SEP

【收录时间】2022-01-02

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