The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model

Ender Demir, Serdar Simonyan, Conrado-Diego García-Gómez and Chi Keung Lau

Finance Research Letters, 2021, vol. 40, issue C

Abstract: This paper examines the asymmetric effect of Bitcoin on three altcoins, namely Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) by using the Nonlinear Autoregressive Distributed Lag (NARDL) model for the period July 2015 to March 2019. We provide evidence on the asymmetric impact of Bitcoin on altcoins both in the short-run and in the long-run. In the short-run, a decrease in Bitcoin price has greater effect than an increase on the prices of altcoins. This asymmetry is more frequent after the 2017 cryptocurrency price crash.

Keywords: Bitcoin; Cryptocurrency; Asymmetry; Ethereum; Ripple; Litecoin; NARDL (search for similar items in EconPapers)
JEL-codes: C12 C32 E42 G12 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319310311

DOI: 10.1016/j.frl.2020.101754

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