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Is Bitcoin Still a King? Relationships between Prices, Volatility and Liquidity of Cryptocurrencies during the Pandemic
2021
Entropy
We try to establish the commonalities and leadership in the cryptocurrency markets by examining the mutual information and lead-lag relationships between Bitcoin and other cryptocurrencies from January 2019 to June 2021. We examine the transfer entropy between volatility and liquidity of seven highly capitalized cryptocurrencies in order to determine the potential direction of information flow. We find that cryptocurrencies are strongly interrelated in returns and volatility but less in
doi:10.3390/e23111386
pmid:34828084
pmcid:PMC8624574
fatcat:co7qd2ebibfrliemxpl4qqknsy