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

Pavel Ciaian, Miroslava Rajcaniova () and d'Artis Kancs

Journal of International Financial Markets, Institutions and Money, 2018, vol. 52, issue C, 173-195

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.

Keywords: BitCoin; Altcoins; Virtual currencies; Price formation; Investment; Supply; Demand; Macroeconomic development (search for similar items in EconPapers)
JEL-codes: E31 E42 G12 (search for similar items in EconPapers)
Date: 2018
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Related works:
Working Paper: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017) Downloads
Working Paper: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017) Downloads
Working Paper: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017) Downloads
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