Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets

@article{Ciaian2017VirtualRS,
  title={Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets},
  author={Pavel Ciaian and Miroslava Rajcaniova and d'Artis Kancs},
  journal={Journal of International Financial Markets, Institutions and Money},
  year={2017},
  volume={52},
  pages={173-195}
}
This study empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual currencies) and two Altcoin price indices for the period 2013-2016. Our empirical findings confirm that indeed BitCoin and Altcoin markets are interdependent. The BitCoin-Altcoin price relationship is significantly stronger in the short-run than in the long-run. We… 
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