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

Le Chang; Yanlin Shi

doi:10.1016/j.orl.2020.08.005

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

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

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	https://doi.org/10.1016/j.orl.2020.08.005
Publication status	Published - 1 Sept 2020

Keywords

Cryptocurrencies
Information share
Price discovery
Time-varying VECM

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10.1016/j.orl.2020.08.005

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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.",

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AB - 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.

KW - Cryptocurrencies

KW - Information share

KW - Price discovery

KW - Time-varying VECM

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

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Keywords

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