Information Flow Between Bitcoin and Other Financial Assets

24 Pages Posted: 9 Apr 2020

See all articles by Sangjin Park

Sangjin Park

affiliation not provided to SSRN

Kwahngsoo Jang

affiliation not provided to SSRN

Jae-Suk Yang

Korea Advanced Institute of Science and Technology (KAIST)

Date Written: March 15, 2020

Abstract

Since the cryptocurrency, bitcoin, was launched in 2009, trading of bitcoin has been booming, and bitcoin is now increasingly recognized as an investment asset. However, concerns have arisen about the stability of this form of currency due to its volatility. Evaluation is necessary of bitcoin as an asset compared to other financial assets. In this study, we analyze information flows between bitcoin and other financial assets in 27 countries, demonstrating that bitcoin has a high correlation with other financial assets in many countries. Further, we observe a directional pattern in information flows according to the economic conditions in each country (i.e., developed and emerging markets). Our research shows that bitcoin is proactively influenced by changes in exchange rates and stocks in developed markets compared to emerging markets, and that changes in the price of bitcoin have no prior effect on indexes of financial assets in most countries.

Keywords: Transfer entropy, Information flow, bitcoin, Financial assets

Suggested Citation

Park, Sangjin and Jang, Kwahngsoo and Yang, Jae-Suk, Information Flow Between Bitcoin and Other Financial Assets (March 15, 2020). Available at SSRN: https://ssrn.com/abstract=3554544 or http://dx.doi.org/10.2139/ssrn.3554544

Sangjin Park

affiliation not provided to SSRN

Kwahngsoo Jang

affiliation not provided to SSRN

Jae-Suk Yang (Contact Author)

Korea Advanced Institute of Science and Technology (KAIST) ( email )

291 Daehak-ro
Yuseong-gu
Daejeon, 34141
Korea, Republic of (South Korea)

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