This paper 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;
RAJCANIOVA Miroslava;
KANCS D'Artis;
2018-01-19
ELSEVIER SCIENCE BV
JRC109192
1042-4431,
https://www.sciencedirect.com/science/article/pii/S1042443117302858,
https://publications.jrc.ec.europa.eu/repository/handle/JRC109192,
10.1016/j.intfin.2017.11.001,
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