On the role of stablecoins in cryptoasset pricing dynamics

Financial Innovation

Table 5 Rényi transfer entropy on market capitalizations

Hypothesis (H₀)	\(q=0.1\)		\(q=0.2\)		\(q=0.5\)		\(q=0.8\)
Hypothesis (H₀)	RTE	p value	RTE	p value	RTE	p value	RTE	p value
Bitcoin does not lead stablecoins	0.6485	0.0567	0.5524	0.0433	0.2626	0.0233	0.0725	0.0700
Altcoins do not lead stablecoins	0.6432	0.0700	0.5479	0.0500	0.2641	0.0267	0.0787	0.0400
Stablecoins do not lead Bitcoin	0.4948	0.7967	0.4281	0.7333	0.2185	0.3967	0.0724	0.1333
Altcoins do not lead Bitcoin	0.4711	0.8700	0.3951	0.8533	0.1709	0.8900	0.0463	0.8900
Stablecoins do not lead altcoins	0.5198	0.5567	0.4355	0.5567	0.1977	0.5567	0.0588	0.4033
Bitcoin does not lead altcoins	0.5475	0.3833	0.4551	0.3967	0.1903	0.5700	0.0449	0.8233

Rényi transfer entropy is estimated following Dimpfl and Peter (2013, 2014) with 2 lags following the short-term Granger causality specification in Table 4. \(q<1\) emphasize the least likely, i.e. more unique or extreme, events so that \(q \rightarrow 0\) is dominated by the most extreme events