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

被引：34
|
作者：
Demir, Ender [1 ,2 ]
Simonyan, Serdar [3 ]
Garcia-Gomez, Conrado-Diego [4 ]
Lau, Chi Keung Marco [5 ]
机构：
[1] Istanbul Medeniyet Univ, Istanbul, Turkey
[2] Univ Social Sci, Lodz, Poland
[3] Univ Carlos III Madrid, Madrid, Spain
[4] Univ Valladolid, Duques Soria Campus, Valladolid, Spain
[5] Univ Huddersfield, Huddersfield Business Sch, Huddersfield, W Yorkshire, England
来源：
FINANCE RESEARCH LETTERS | 2021年 / 40卷
关键词：
Cryptocurrency; Asymmetry; Ethereum; Ripple; Litecoin; NARDL; POLICY UNCERTAINTY; CRYPTOCURRENCY; CONNECTEDNESS; INEFFICIENCY; DYNAMICS; RETURNS; MARKET;
D O I：
10.1016/j.frl.2020.101754
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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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页数：6
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