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

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

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

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
Number of pages6
JournalFinance Research Letters
Volume40
Early online date5 Sep 2020
DOIs
Publication statusPublished - 1 May 2021

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