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 journalArticlepeer-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 languageEnglish
Article number101754
JournalFinance Research Letters
Early online date5 Sep 2020
DOIs
Publication statusE-pub ahead of print - 5 Sep 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.

Fingerprint Dive into the research topics of 'The asymmetric effect of bitcoin on altcoins : evidence from the nonlinear autoregressive distributed lag (NARDL) model'. Together they form a unique fingerprint.

Cite this