Abstract:Despite the growing literature in cryptocurrency forecasting and their price drivers, the relationship between their price and other financial time series is an ongoing matter of debate. This study proposes a three‐step methodology to cover these arguments. First, we conduct an ad hoc analysis using transfer entropy (TE) to study the causal relationship between Bitcoin (BTC) returns and a vast array of financial time series. Then, we utilize variables with a significant amount of information flow toward BTC re… Show more
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