Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?

Pedro Bação, Antonio Portugal Duarte, Helder Sebastião, Srdjan Redzepagic


This paper investigates the information transmission between the most important cryptocurrencies - Bitcoin, Litecoin, Ripple, Ethereum and Bitcoin Cash. We use a VAR modelling approach, upon which the Geweke’s feedback measures and generalized impulse response functions are computed. This methodology allows us to fully characterize the direction, intensity and persistence of information flows between cryptocurrencies. At the available data granularity, most of information transmission is contemporaneous, that is, it occurs within a day. However, it seems that there are some lagged feedback effects, mainly from other cryptocurrencies to Bitcoin. The generalized impulse-response functions confirm that there is a strong contemporaneous correlation and that there is not much evidence of lagged effects. The exception appears to be related to the overreaction of Bitcoin returns to contemporaneous shocks.


Bitcoin; cryptocurrencies; causality; Geweke feedback measures; generalized impulse response.

JEL Codes

G10; G14; G15.

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