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.
|Journal||Finance Research Letters|
|Early online date||5 Sept 2020|
|Publication status||E-pub ahead of print - 5 Sept 2020|
Bibliographical noteFunding 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.
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