Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic.
Entropy (Basel)
; 23(11)2021 Oct 22.
Article
in English
| MEDLINE | ID: covidwho-1533843
ABSTRACT
We try to establish the commonalities and leadership in the cryptocurrency markets by examining the mutual information and lead-lag relationships between Bitcoin and other cryptocurrencies from January 2019 to June 2021. We examine the transfer entropy between volatility and liquidity of seven highly capitalized cryptocurrencies in order to determine the potential direction of information flow. We find that cryptocurrencies are strongly interrelated in returns and volatility but less in liquidity. We show that smaller and younger cryptocurrencies (such as Ripple's XRP or Litecoin) have started to affect the returns of Bitcoin since the beginning of the pandemic. Regarding liquidity, the results of the dynamic time warping algorithm also suggest that the position of Monero has increased. Those outcomes suggest the gradual increase in the role of privacy-oriented cryptocurrencies.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Language:
English
Year:
2021
Document Type:
Article
Affiliation country:
E23111386
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