Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero
Yhlas Sovbetov
Journal of Economics and Financial Analysis, 2018, vol. 2, issue 2, 1-27
Abstract:
This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings. First, cryptomarket-related factors such as market beta, trading volume, and volatility appear to be significant determinant for all five cryptocurrencies both in short- and long-run. Second, attractiveness of cryptocurrencies also matters in terms of their price determination, but only in long-run. This indicates that formation (recognition) of the attractiveness of cryptocurrencies are subjected to time factor. In other words, it travels slowly within the market. Third, SP500 index seems to have weak positive long-run impact on Bitcoin, Ethereum, and Litcoin, while its sign turns to negative losing significance in short-run, except Bitcoin that generates an estimate of -0.20 at 10% significance level. Lastly, error-correction models for Bitcoin, Etherem, Dash, Litcoin, and Monero show that cointegrated series cannot drift too far apart, and converge to a long-run equilibrium at a speed of 23.68%, 12.76%, 10.20%, 22.91%, and 14.27% respectively.
Keywords: Cryptocurrency; Bitcoin; Ethereum; Cointegration; ARDL Bound Test; Error Correction Model. (search for similar items in EconPapers)
JEL-codes: C51 C59 D40 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 (68)
Downloads: (external link)
https://ojs.tripaledu.com/jefa/article/download/36/35 (application/pdf)
http://ojs.tripaledu.com/jefa/article/view/36/36 (text/html)
Related works:
Working Paper: Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero (2018)
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:trp:01jefa:jefa0016
DOI: 10.1991/jefa.v2i2.a16
Access Statistics for this article
Journal of Economics and Financial Analysis is currently edited by David Simon Hall
More articles in Journal of Economics and Financial Analysis from Tripal Publishing House
Bibliographic data for series maintained by David Simon Hall ().