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.
| Original language | English |
|---|---|
| Pages (from-to) | 641-645 |
| Number of pages | 5 |
| Journal | Operations Research Letters |
| Volume | 48 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 1 Sept 2020 |
Keywords
- Cryptocurrencies
- Information share
- Price discovery
- Time-varying VECM