Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets

【Author】 Ciaian, Pavel; Rajcaniova, Miroslava; Kancs, d'Artis

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】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 slightly greater degree than BitCoin does. The virtual currency supply is exogenous and therefore plays only a limited role in the price formation. (C) 2017 The Authors. Published by Elsevier B.V.

【Keywords】BitCoin; Altcoins; Virtual currencies; Price formation; Investment; Supply; Demand; Macroeconomic development

【发表时间】2018 JAN

【收录时间】2022-01-02

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