[2020-18] Information flow between bitcoin and other financial assets
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날짜 2020.12.11
조회수 276
[2020-18] Information flow between bitcoin and other financial assets Sangjin Park Moon Soul Graduate School of Future Strategy, KAIST Kwahngsoo Jang Financial Supervisory Service Jae-Suk Yang Moon Soul Graduate School of Future Strategy, KAIST Abstract 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. Keywords Transfer entropy, Information flow, Bitcoin, Financial assets
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