کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7364348 | 1479095 | 2018 | 46 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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 (BitCoinâ¯+â¯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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 52, January 2018, Pages 173-195
Journal: Journal of International Financial Markets, Institutions and Money - Volume 52, January 2018, Pages 173-195
نویسندگان
Pavel Ciaian, Miroslava Rajcaniova, d'Artis Kancs,