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

Le Chang, Yanlin Shi*

*Corresponding author for this work

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)641-645
Number of pages5
JournalOperations Research Letters
Volume48
Issue number5
DOIs
Publication statusPublished - 1 Sep 2020

Keywords

  • Cryptocurrencies
  • Information share
  • Price discovery
  • Time-varying VECM

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