Information Flow between Bitcoin and Other Investment Assets

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This paper studies the causal relationship between Bitcoin and other investment assets. We first test Granger causality and then calculate transfer entropy as an information-theoretic approach. Unlike the Granger causality test, we discover that transfer entropy clearly identifies causal interdependency between Bitcoin and other assets, including gold, stocks, and the U.S. dollar. However, for symbolic transfer entropy, the dynamic rise-fall pattern in return series shows an asymmetric information flow from other assets to Bitcoin. Our results imply that the Bitcoin market actively interacts with major asset markets, and its long-term equilibrium, as a nascent market, gradually synchronizes with that of other investment assets.
Publisher
MDPI
Issue Date
2019-11
Language
English
Article Type
Article
Citation

ENTROPY, v.21, no.11

ISSN
1099-4300
DOI
10.3390/e21111116
URI
http://hdl.handle.net/10203/270825
Appears in Collection
IE-Journal Papers(저널논문)
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