Sovbetov, Yhlas (2018) Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. Journal of Economics and Financial Analysis Jefa.
![[img]](http://blossom.informatik.uni-rostock.de/style/images/fileicons/text.png) |
Text
sovbetov-factors-influencing-cryptocurrency-prices.pdf Restricted to Registered users only Download (936kB) |
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.
| Item Type: | Article |
|---|---|
| Subjects: | Main Topics > Bitcoin Projects > BloSSom 2019 Main Topics > Economy Main Topics > Ethereum Main Topics > Monero |
| Divisions: | Computer Science |
| Depositing User: | Unnamed user with email richard.dabels@uni-rostock.de |
| Date Deposited: | 03 Sep 2019 16:34 |
| Last Modified: | 03 Sep 2019 16:34 |
| URI: | http://blossom.informatik.uni-rostock.de/id/eprint/25 |
Actions (login required)
 |
View Item |
