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Abstract

The aim of the research was to investigate price, liquidity and information spillover within the cryptocurrency market. Since from the introduction of bitcoin, many other cryptocurrencies have emerged, there appears a question, whether the market is and will be dominated by Bitcoin, while other cryptocurrencies are only marginal and follow the price, liquidity and overall dynamics of Bitcoin, or can they be possibly used to portfolio diversification. The article contributes also to the debate on the possibility of contagion across the cryptocurrency market. By measuring and quantifying the spillovers of prices, information and liquidity among the cryptocurrencies, we try to investigate the strength of influence of the separate currencies on the whole system. The following cryptocurrencies traded in Bitfinex were taken it account: Bitcoin, Ether, Litecoin, Dashcoin and Monero. All the prices were expressed in US dollars. The period of the study covers one year, from May 2017 to May 2018. Liquidity was measured by Volume over Volatility measure, while information inflow through volume traded. Volume of spillovers were computed according to the methodology proposed by Diebold and Yilmaz. The study suggest strong co-movement across the currencies and high and relatively stable value of spillover indices.

Key words: cryptocurrencies; Bitcoin; DASH; Ether; Litecoin; Monero; spillover index; liquidity

Streszczenie

Celem artykułu jest zbadanie przenoszenia zmian cen, płynności i informacji pomiędzy kryptowalutami (na przykładzie giełdy BitFinex), w celu odpowiedzi na pytanie, czy rynek kryptowalutowy jest i będzie zdominowany przez Bitcoina, a inne kryptowaluty tylko naśladują jego zachowanie. Zbadane zostało zachowanie cen (wyrażonych w dolarach), płynności i przepływu informacji następujących kryptowalut: Bitcoin, Ether, Litecoin, Dashcoin i Monero. Okres badania objął rok (od maja 2017 do maja 2018). Jako miarę płynności przyjęto Volatility over Volume, a przepływ informacji aproksymowany był wielkością transakcji. Do zbadania siły zarażania wykorzystano metodykę indeksu przenoszenia (spillover index) zaproponowaną przez Diebolda i Yilmaza. Na podstawie wyników stwierdzono silną współbieżność kryptowalut, silne powiązania i relatywnie stałe wielkości przenoszenia.

Słowa kluczowe: kryptowaluty; Bitcoin; DASH; Ether; Litecoin; Monero; indeks przenoszenia; płynność

JEL: G11, G15, G19

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