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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: EERI Research Paper Series ; No. 02/2017

Classification and Topics

• Classification: Wirtschaft ; Price Level; Inflation; Deflation ; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: BitCoin ; altcoins ; virtual currencies ; price formation ; supply ; demand ; macroeconomic development

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ciaian, Pavel ; Rajcaniova, Miroslava ; Kancs, D'Artis
• Event: Veröffentlichung
• (who): Economics and Econometrics Research Institute (EERI)
• (where): Brussels
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/179403
• Last update: 10.03.2025, 11:42 AM CET