The influence of Bitcoin's price evolution on the values of other cryptocurrencies: An econometric study

L'influence de l'évolution du prix du Bitcoin sur les valeurs des autres cryptomonnaies: Une étude économétrique

Mohamed El Hamrani and Abderrazak Hiri
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Mohamed El Hamrani: LIREFIMO - Laboratoire Interdisciplinaire de Recherche en Economie, Finance et Management des Organisations - USMBA - Université Sidi Mohamed Ben Abdellah
Abderrazak Hiri: LIREFIMO - Laboratoire Interdisciplinaire de Recherche en Economie, Finance et Management des Organisations - USMBA - Université Sidi Mohamed Ben Abdellah

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Abstract: The objective of this work is to determine the impact of the evolution of the Bitcoin price on the values of other cryptocurrencies. It is, in fact, a question of describing the influence that the price of this famous digital asset can have on the values of other virtual currencies when it evolves up or down in a universe characterized by high volatility. For the achievement of this objective, and after having given a definition to what is called cryptocurrency and to the technological base on which it is based (blockchain), we present the main factors influencing the values of cryptocurrencies in general, and the price of Bitcoin in particular, knowing that the prices of these virtual assets are very volatile. Theoretically, it is considered that any change in the price of Bitcoin on the values of other cryptocurrencies does not have a synchronous but delayed effect. Reason for which we carry out an econometric application by the estimation of the models with distributed lags of which Bitcoin is an explanatory variable and the four main crypto-currencies which are Ethereum, Binance Coin, Cardano and Polcadot are variables to be explained representing the whole other crypto-currencies in circulation in the virtual world, with the exploitation of hourly data of the values of these five cryptocurrencies recorded for 31 days (744 observations). Thus, the presentation of the main evolutions that the Bitcoin price has experienced since its inception, the events that caused it and the econometric application carried out highlight this work and make it different from other previous works dealing with the similar topics.

Keywords: Cryptocurrency; Blockchain; Bitcoin; econometric study; distributed lag model; Cryptomonnaie; étude économétrique; modèle à retards échelonnés (search for similar items in EconPapers)
Date: 2022
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Published in International Journal of Accounting, Finance, Auditing, Management and Economics, 2022, 3 (3-2), pp.580-595. ⟨10.5281/zenodo.6582485⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03698860

DOI: 10.5281/zenodo.6582485

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