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

被引：7
|
作者：
Chang, Le [1 ]
Shi, Yanlin [2 ]
机构：
[1] Australian Natl Univ, Res Sch Actuarial Studies Finance & Stat, Canberra, ACT 2601, Australia
[2] Macquarie Univ, Dept Actuarial Studies & Business Analyt, Sydney, NSW 2000, Australia
来源：
OPERATIONS RESEARCH LETTERS | 2020年 / 48卷 / 05期
关键词：
Cryptocurrencies; Price discovery; Information share; Time-varying VECM; INEFFICIENCY;
D O I：
10.1016/j.orl.2020.08.005
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
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页码：641 / 645
页数：5
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