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

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F18%3A43950365" target="_blank" >RIV/49777513:23510/18:43950365 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.intfin.2017.11.001" target="_blank" >http://dx.doi.org/10.1016/j.intfin.2017.11.001</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.intfin.2017.11.001" target="_blank" >10.1016/j.intfin.2017.11.001</a>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of International Financial Markets, Institutions and Money

ISSN

1042-4431

e-ISSN

—

Svazek periodika

52

Číslo periodika v rámci svazku

Neuveden

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

23

Strana od-do

173-195

Kód UT WoS článku

000418493800011

EID výsledku v databázi Scopus

2-s2.0-85036634096