The asymmetric effect of bitcoin on altcoins : evidence from the nonlinear autoregressive distributed lag (NARDL) model

Ender Demir; Serdar Simonyan; Conrado Diego García-Gómez; Chi Keung Marco Lau

doi:10.1016/j.frl.2020.101754

The asymmetric effect of bitcoin on altcoins : evidence from the nonlinear autoregressive distributed lag (NARDL) model

Ender Demir, Serdar Simonyan, Conrado Diego García-Gómez, Chi Keung Marco Lau

Research output: Contribution to journal › Article › peer-review

Abstract

This paper examines the asymmetric effect of Bitcoin on three altcoins, namely Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) by using the Nonlinear Autoregressive Distributed Lag (NARDL) model for the period July 2015 to March 2019. We provide evidence on the asymmetric impact of Bitcoin on altcoins both in the short-run and in the long-run. In the short-run, a decrease in Bitcoin price has greater effect than an increase on the prices of altcoins. This asymmetry is more frequent after the 2017 cryptocurrency price crash.

Original language	English
Article number	101754
Journal	Finance Research Letters
Early online date	5 Sept 2020
DOIs	https://doi.org/10.1016/j.frl.2020.101754
Publication status	E-pub ahead of print - 5 Sept 2020

Bibliographical note

Funding Information:
Funding: This research has been financed by Spanish Public Funds through Ministry of Economy and Competitiveness in the framework of the project ECO2017-84864-P.

Publisher Copyright:
© 2020 Elsevier Inc.

Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.

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title = "The asymmetric effect of bitcoin on altcoins : evidence from the nonlinear autoregressive distributed lag (NARDL) model",

abstract = "This paper examines the asymmetric effect of Bitcoin on three altcoins, namely Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) by using the Nonlinear Autoregressive Distributed Lag (NARDL) model for the period July 2015 to March 2019. We provide evidence on the asymmetric impact of Bitcoin on altcoins both in the short-run and in the long-run. In the short-run, a decrease in Bitcoin price has greater effect than an increase on the prices of altcoins. This asymmetry is more frequent after the 2017 cryptocurrency price crash.",

author = "Ender Demir and Serdar Simonyan and Garc{\'i}a-G{\'o}mez, {Conrado Diego} and Lau, {Chi Keung Marco}",

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AU - Lau, Chi Keung Marco

N1 - Funding Information: Funding: This research has been financed by Spanish Public Funds through Ministry of Economy and Competitiveness in the framework of the project ECO2017-84864-P. Publisher Copyright: © 2020 Elsevier Inc. Copyright: Copyright 2020 Elsevier B.V., All rights reserved.

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AB - This paper examines the asymmetric effect of Bitcoin on three altcoins, namely Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) by using the Nonlinear Autoregressive Distributed Lag (NARDL) model for the period July 2015 to March 2019. We provide evidence on the asymmetric impact of Bitcoin on altcoins both in the short-run and in the long-run. In the short-run, a decrease in Bitcoin price has greater effect than an increase on the prices of altcoins. This asymmetry is more frequent after the 2017 cryptocurrency price crash.

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The asymmetric effect of bitcoin on altcoins : evidence from the nonlinear autoregressive distributed lag (NARDL) model

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