Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets

By Pavel Ciaian, Miroslava Rajcaniova, d'Artis Kancs. 2017

327 citations recorded by the source corpus.

This study 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 greater degree than BitCoin does. The virtual currency supply is exogenous and therefore plays only a limited role in the price formation.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/e68a72995419964d2fa42f2de34c5b1eef7cb51d

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Citations in the corpus

Cryptocurrencies as a financial asset: A systematic analysis (2019, methodology): “Corbet et al. [2017] built on the work of Phillips et al. [2011] and Phillips et al. [2015] to examine the existence and dates of potential pricing bubbles in the markets for Bitcoin and Ethereum.”
High frequency volatility co-movements in cryptocurrency markets (2019, methodology): “Corbet et al. [2018] used a VAR model and the Diebold and Yilmaz [2012] methodology, in order to measure the direction and intensity of spillovers across selected cryptocurrencies.”
An empirical investigation of volatility dynamics in the cryptocurrency market (2019, unknown): “However, although it could be expected that the prices of Bitcoin and other cryptocurrencies are interdependent, due to Bitcoin's dominance within the market and the fact that most altcoin orders are executed in Bitcoin (Ciaian et al., 2018), the literature on interlinkages and volatility dynamics w”
Taming the blockchain beast? Regulatory implications for the cryptocurrency Market (2020, unknown): “The issue of heterogeneous crypto-asset price reactions to various shocks has also been reinforced by Ciaian and Rajcaniova (2018) for the case of macro-financial indicators (e.”
Return, volatility and shock spillovers of Bitcoin with energy and technology companies (2018, result): “Our study expands previous efforts in cryptocurrencies’ literature that analyze the diversification benefits and interdependencies with financial assets (Dyhrberg, 2016; Ciaian et al., 2018; Corbet et al., 2018) and explore Bitcoin returns and volatility (Balcilar et al.”
Volatility estimation for Bitcoin: Replication and robustness (2019, unknown): “See Ciaian et al. (2018) for a discussion on altcoins.”