Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic

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 highl...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Barbara Będowska-Sójka, Agata Kliber, Aleksandra Rutkowska
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	cryptocurrencies mutual information transfer entropy dynamic time warping Science Q Astrophysics QB460-466 Physics QC1-999
Acceso en línea:	https://doaj.org/article/3b4a868929dd4c7a835efe9ff9092e27
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:3b4a868929dd4c7a835efe9ff9092e27
record_format	dspace
spelling	oai:doaj.org-article:3b4a868929dd4c7a835efe9ff9092e272021-11-25T17:29:12ZIs Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic10.3390/e231113861099-4300https://doaj.org/article/3b4a868929dd4c7a835efe9ff9092e272021-10-01T00:00:00Zhttps://www.mdpi.com/1099-4300/23/11/1386https://doaj.org/toc/1099-4300We 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.Barbara Będowska-SójkaAgata KliberAleksandra RutkowskaMDPI AGarticlecryptocurrenciesmutual informationtransfer entropydynamic time warpingScienceQAstrophysicsQB460-466PhysicsQC1-999ENEntropy, Vol 23, Iss 1386, p 1386 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	cryptocurrencies mutual information transfer entropy dynamic time warping Science Q Astrophysics QB460-466 Physics QC1-999
spellingShingle	cryptocurrencies mutual information transfer entropy dynamic time warping Science Q Astrophysics QB460-466 Physics QC1-999 Barbara Będowska-Sójka Agata Kliber Aleksandra Rutkowska Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic
description	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.
format	article
author	Barbara Będowska-Sójka Agata Kliber Aleksandra Rutkowska
author_facet	Barbara Będowska-Sójka Agata Kliber Aleksandra Rutkowska
author_sort	Barbara Będowska-Sójka
title	Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic
title_short	Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic
title_full	Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic
title_fullStr	Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic
title_full_unstemmed	Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic
title_sort	is bitcoin still a king? relationships between prices, volatility and liquidity of cryptocurrencies during the pandemic
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/3b4a868929dd4c7a835efe9ff9092e27
work_keys_str_mv	AT barbarabedowskasojka isbitcoinstillakingrelationshipsbetweenpricesvolatilityandliquidityofcryptocurrenciesduringthepandemic AT agatakliber isbitcoinstillakingrelationshipsbetweenpricesvolatilityandliquidityofcryptocurrenciesduringthepandemic AT aleksandrarutkowska isbitcoinstillakingrelationshipsbetweenpricesvolatilityandliquidityofcryptocurrenciesduringthepandemic
_version_	1718412278019129344

Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic

Ejemplares similares