Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets

Pavel Ciaian, d'Artis Kancs and Miroslava Rajcaniova

No 2017-05, JRC Working Papers in Economics and Finance from Joint Research Centre, European Commission

Abstract: 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.

Keywords: BitCoin; altcoins; virtual currencies; price formation; supply; demand; macroeconomic development (search for similar items in EconPapers)
JEL-codes: E31 E42 G12 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2017-09
New Economics Papers: this item is included in nep-cta, nep-mac and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Published by Publications office of the European Union, 2017

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https://publications.jrc.ec.europa.eu/repository/handle/JRC107108 (application/pdf)

Related works:
Journal Article: Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets (2018)
Working Paper: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017)
Working Paper: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017)
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