How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?

Olaoluwa Yaya, Ahamuefula Ogbonna and Olusanya Olubusoye

Physica A: Statistical Mechanics and its Applications, 2019, vol. 531, issue C

Abstract: The present paper investigates persistence and inter-dependence of bitcoin on other popular alternative coins. We employ fractional integration approach in our analysis of persistence, while a more recent fractional cointegration technique in VAR set-up, proposed by Johansen (2008), is used to investigate inter-dependence in pricing of the paired cryptocurrencies. Having partitioned the series into periods before and after the 2017/2018 cryptocurrency price crash, as determined by Bitcoin pricing, we obtain some interesting results. Higher persistence of price shocks is observed after the crash, which is probably due to speculative transactions among cryptocurrency traders, and more evidences of non-mean reversions are revealed, implying chances of further price fall in cryptocurrencies. Cointegration relationships between bitcoin and alternative coins exist in both periods, with weak correlations observed mostly in the post-crash period. Our results further indicate the possibility of market efficiency between pair of cryptocurrency. Generally, we hope the findings will serve as guide to investors in cryptocurrency markets.

Keywords: Cointegration; Cryptocurrency; Fractional integration; Fractional cointegration; Vector autoregression (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (30)

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Related works:
Working Paper: How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash? (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:531:y:2019:i:c:s0378437119309902

DOI: 10.1016/j.physa.2019.121732

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