Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/202283
Authors: 
Ciaian, Pavel
Kancs, d'Artis
Rajcaniova, Miroslava
Year of Publication: 
2017
Series/Report no.: 
JRC Working Papers in Economics and Finance 2017/5
Abstract: 
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.
Subjects: 
BitCoin
altcoins
virtual currencies
price formation
supply
demand
macroeconomic development
JEL: 
E31
E42
G12
Persistent Identifier of the first edition: 
ISBN: 
978-92-79-67442-6
Document Type: 
Working Paper
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