Ether: Bitcoin's competitor or ally?
Jamal Bouoiyour () and
Refk Selmi ()
Working Papers from HAL
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test whether these cryptocurrencies differ in terms of their volatile and speculative behaviors, hedge, safe haven and risk diversification properties. Using different econometric techniques, we show that a) Bitcoin and Ether are volatile and relatively more responsive to bad news, but the volatility of Ether is more persistent than that of Bitcoin; b) for both cryptocurrencies, the exuberance and the collapse of bubbles were identified, but Bitcoin appears more speculative than Ether; c) there is negative and significant correlation between Bitcoin/Ether and other assets (S&P500 stocks, US bonds, oil), which would indicate that digital currencies can hedge against the price movements of these assets; d) there is negative tail independence between Bitcoin/Ether and other financial assets, implying that these cryptocurrencies exhibit the function of a weak safe haven; and e) The inclusion of Bitcoin/ Ether in a portfolio improve its efficiency in terms of higher reward-to-risk ratios. But investors who hold diversified portfolios made of stocks or bonds and Ether may face losses over bearish regime. In such situation, stock and bond investors may take a short position on Bitcoin.
Keywords: safe haven; Bitcoin; Ether; volatility; speculation; hedge; risk diversification (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-pay
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01567277
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Working Paper: Ether: Bitcoin's competitor or ally? (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01567277
Access Statistics for this paper
More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().