Abstract 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 this data granularity, most of information transmission is contemporaneous. 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.

中文翻译：

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加密货币之间的信息传输：比特币统治加密货币世界吗？

摘要 本文研究了最重要的加密货币——比特币、莱特币、瑞波币、以太坊和比特币现金之间的信息传输。我们使用 VAR 建模方法，根据该方法计算 Geweke 的反馈度量和广义脉冲响应函数。这种方法使我们能够充分表征加密货币之间信息流的方向、强度和持久性。在此数据粒度下，大部分信息传输是同时进行的。然而，似乎存在一些滞后的反馈效应，主要是从其他加密货币到比特币。广义脉冲响应函数证实存在很强的同期相关性，并且没有太多滞后效应的证据。