Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero
Journal Title: Journal of Economics and Financial Analysis - Year 2018, Vol 2, Issue 2
Abstract
This paper examines factors that influence prices of most common five cryptocurrencies such Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings. First, cryptomarket-related factors such as market beta, trading volume, and volatility appear to be significant determinant for all five cryptocurrencies both in short- and long-run. Second, attractiveness of cryptocurrencies also matters in terms of their price determination, but only in long-run. This indicates that formation (recognition) of the attractiveness of cryptocurrencies are subjected to time factor. In other words, it travels slowly within the market. Third, SP500 index seems to have weak positive long-run impact on Bitcoin, Ethereum, and Litcoin, while its sign turns to negative losing significance in short-run, except Bitcoin that generates an estimate of -0.20 at 10% significance level. Lastly, error-correction models for Bitcoin, Etherem, Dash, Litcoin, and Monero show that cointegrated series cannot drift too far apart, and converge to a long-run equilibrium at a speed of 23.68%, 12.76%, 10.20%, 22.91%, and 14.27% respectively.
Authors and Affiliations
Yhlas Sovbetov
Keywords
Related Articles
- EP ID EP262877
- DOI -
- Views 117
- Downloads 0
Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules
The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average strategies. In this paper, short and long lengths...
Differential Investors Response to Restatement Announcements: An Empirical Investigation
When firms announce a restatement of their financial reports, they inform investors that their prior announcements were faulty. Not only do companies lose credibility at times such as this but also their securities are r...
Implication of Credit Supervision Practices on Portfolio at risk of Microfinance Institutions in Tanzania
This study seeks to establish the implication of credit supervision practices on portfolio management of microfinance institutions in Tanzania. Utilizing multivariate regression technique over sampled 219 microfinance in...
The Long-Term Impact of Educational and Health Spending on Unemployment Rates
This study used panel data regression analysis to evaluate the long-term effects of several measures of U.S. education expenditure on unemployment rates in 50 states and Washington D.C. over 25 years. The data included s...
Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?
In Monte Carlo experiment with simulated data, we show that as a point forecast criterion, the Clark and West's (2006) unconditional test of mean squared prediction errors does not reflect the relative performance of a s...