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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (137)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443117302858
Full text for ScienceDirect subscribers only

Related works:
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)
Working Paper: Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:52:y:2018:i:c:p:173-195

DOI: 10.1016/j.intfin.2017.11.001

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().