Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets: JRC Working Papers in Economics and Finance - 5/2017
This study empirically examines interdependencies between BitCoin and Altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual currencies) and two Altcoin price indices for the period 2013-2016. Our empirical findings confirm that indeed BitCoin and Altcoin markets are interdependent. The BitCoin-Altcoin price relationship is significantly stronger in the short-run than in the long-run. We cannot fully confirm the hypothesis that the BitCoin price relationship is stronger with those Altcoins that are more similar in their price formation mechanism to BitCoin. In the long-run, macro-financial indicators determine the Altcoin price formation to a greater degree than BitCoin does. The virtual currency supply is exogenous and therefore plays only a limited role in the price formation.
CIAIAN Pavel;
KANCS D'Artis;
RAJCANIOVA Miroslava;
2017-10-02
Publications Office of the European Union
JRC107108
978-92-79-67442-6,
2467-2203,
OP KJ-AE-17-005-EN-N,
https://publications.jrc.ec.europa.eu/repository/handle/JRC107108,
10.2760/133614,
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