Information flow between bitcoin and other financial assets

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Since bitcoin launched in 2009, its popularity has soared, with global trading volume reaching 203.1 billion dollars as of August 2019. Given the trend that bitcoin is increasingly recognized as an investment asset, we analyzed its relationship with other financial assets. We found significant flows of information between bitcoin and exchange rates in most countries. Further, we observed a directional pattern in information flow according to the economic conditions in each country (i.e., developed and emerging markets). The results showed that bitcoin responded more strongly to the exchange rates and stocks in developed markets than in emerging markets.
Publisher
ELSEVIER
Issue Date
2021-03
Language
English
Article Type
Article
Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.566, pp.125604

ISSN
0378-4371
DOI
10.1016/j.physa.2020.125604
URI
http://hdl.handle.net/10203/280699
Appears in Collection
RIMS Journal Papers
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