Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets

被引：212
作者：
Ciaian, Pavel [1 ,4 ]
Rajcaniova, Miroslava [2 ,3 ]
Kancs, d'Artis [1 ,4 ]
机构：
[1] European Commiss, Joint Res Ctr, Ispra, Italy
[2] Slovak Univ Agr, Tr A Hlinku 2, Nitra, Slovakia
[3] UWB, Univ 8, Plzen 30614, Czech Republic
[4] Via E Fermi 2749, I-21027 Ispra, Italy
来源：
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2018年 / 52卷
关键词：
BitCoin; Altcoins; Virtual currencies; Price formation; Investment; Supply; Demand; Macroeconomic development; UNIT-ROOT HYPOTHESIS; OIL-PRICE SHOCK; GREAT CRASH;
D O I：
10.1016/j.intfin.2017.11.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual currencies) and two altcoin price indices for the period 2013-2016. Our empirical findings confirm that indeed BitCoin and altcoin markets are interdependent. The BitCoin-altcoin price relationship is significantly stronger in the short-run than in the long-run. We cannot fully confirm the hypothesis that the BitCoin price relationship is stronger with those altcoins that are more similar in their price formation mechanism to BitCoin. In the long-run, macro-financial indicators determine the altcoin price formation to a slightly greater degree than BitCoin does. The virtual currency supply is exogenous and therefore plays only a limited role in the price formation. (C) 2017 The Authors. Published by Elsevier B.V.
引用
收藏
页码：173 / 195
页数：23
相关论文
共 50 条
  • [1] Ali R., 2014, BANK ENGLAND Q B, P1
  • [2] [Anonymous], DEL PROOF STAK
  • [3] [Anonymous], BITCOIN A PRIMER
  • [4] [Anonymous], 2014, COINDESK
  • [5] [Anonymous], 2014, RIPPLE LABS INC WHIT
  • [6] [Anonymous], 2014, WORLD BANK C WASH DC
  • [7] [Anonymous], 1999, Econometrics and Economic Theory in the 20th Century
  • [8] All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors
    Barber, Brad M.
    Odean, Terrance
    [J]. REVIEW OF FINANCIAL STUDIES, 2008, 21 (02) : 785 - 818
  • [9] Barber S., 2012, Financial Cryptography and Data Security, 16th international conference, P399, DOI DOI 10.1007/978-3-642-32946-3_29
  • [10] Beikverdi A., 2015, PROOF IMPORTANCE NEM
12345