The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model

被引：35
|
作者：
Demir, Ender [1 ,2 ]
Simonyan, Serdar [3 ]
Garcia-Gomez, Conrado-Diego [4 ]
Lau, Chi Keung Marco [5 ]
机构：
[1] Istanbul Medeniyet Univ, Istanbul, Turkey
[2] Univ Social Sci, Lodz, Poland
[3] Univ Carlos III Madrid, Madrid, Spain
[4] Univ Valladolid, Duques Soria Campus, Valladolid, Spain
[5] Univ Huddersfield, Huddersfield Business Sch, Huddersfield, W Yorkshire, England
来源：
FINANCE RESEARCH LETTERS | 2021年 / 40卷
关键词：
Cryptocurrency; Asymmetry; Ethereum; Ripple; Litecoin; NARDL; POLICY UNCERTAINTY; CRYPTOCURRENCY; CONNECTEDNESS; INEFFICIENCY; DYNAMICS; RETURNS; MARKET;
D O I：
10.1016/j.frl.2020.101754
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the asymmetric effect of Bitcoin on three altcoins, namely Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) by using the Nonlinear Autoregressive Distributed Lag (NARDL) model for the period July 2015 to March 2019. We provide evidence on the asymmetric impact of Bitcoin on altcoins both in the short-run and in the long-run. In the short-run, a decrease in Bitcoin price has greater effect than an increase on the prices of altcoins. This asymmetry is more frequent after the 2017 cryptocurrency price crash.
引用
收藏
页数：6
相关论文
共 50 条
  • [1] Land availability and housing price in China: Empirical evidence from nonlinear autoregressive distributed lag (NARDL)
    Yii, Kwang-Jing
    Tan, Chai-Thing
    Ho, Wing-Ken
    Kwan, Xiao-Hui
    Nerissa, Feng-Ting Shim
    Tan, Yan-Yi
    Wong, Kar-Horn
    LAND USE POLICY, 2022, 113
  • [2] Asymmetric price adjustments in the Shanghai Containerized Freight Index: evidence from a nonlinear autoregressive distributed lag model
    Yu, Byungchul
    Shin, Sung-Ho
    Ro, Young-Jin
    INTERNATIONAL JOURNAL OF SHIPPING AND TRANSPORT LOGISTICS, 2023, 17 (1-2) : 60 - 79
  • [3] ASYMMETRIC EXCHANGE RATE PASS-THROUGH TO IMPORT AND EXPORT PRICES FOR TURKEY: A NONLINEAR AUTOREGRESSIVE DISTRIBUTED LAG (NARDL) APPROACH
    Simonyan, Serdar
    ASIAN ACADEMY OF MANAGEMENT JOURNAL OF ACCOUNTING AND FINANCE, 2020, 16 (01): : 35 - 44
  • [4] The asymmetric effect of COVID-19 on investor sentiment: evidence from NARDL model
    Mili, Mehdi
    Al Amoodi, Asma Yahiya
    Bawazir, Hana
    REVIEW OF BEHAVIORAL FINANCE, 2024, 16 (01) : 60 - 84
  • [5] The asymmetric effects of oil price changes on China's exports: New evidence from a nonlinear autoregressive distributed lag model
    Liu, Donghui
    Meng, Lingjie
    Wang, Yudong
    JOURNAL OF ASIAN ECONOMICS, 2021, 77
  • [6] A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of the FTSE and S&P500 Indexes
    Allen, David
    McAleer, Michael
    RISKS, 2021, 9 (11)
  • [7] A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index
    Allen, David E.
    McAleer, Michael
    ENERGIES, 2020, 13 (15)
  • [8] Does financial development asymmetrically affect CO2 emissions in China? An application of the nonlinear autoregressive distributed lag (NARDL) model
    Ahmad, Manzoor
    Khan, Zeeshan
    Rahman, Zia Ur
    Khan, Shehzad
    CARBON MANAGEMENT, 2018, 9 (06) : 631 - 644
  • [9] Environmental regulations and inwardFDIin China: Fresh evidence from the asymmetric autoregressive distributed lag approach
    Ullah, Assad
    Zhao, Xinshun
    Abdul Kamal, Muhammad
    Zheng, Jiajia
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2022, 27 (01) : 1340 - 1356
  • [10] Lead-Lag relationship between Bitcoin and Ethereum: Evidence from hourly and daily data
    Sifat, Imtiaz Mohammad
    Mohamad, Azhar
    Shariff, Mohammad Syazwan Bin Mohamed
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2019, 50 : 306 - 321
12345