The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model
نویسندگان
چکیده
This paper examines the asymmetric effect of Bitcoin on three altcoins, namely Ethereum (ETH), Ripple (XRP) and Litecoin (LTC) by using Nonlinear Autoregressive Distributed Lag (NARDL) model for period July 2015 to March 2019. We provide evidence impact altcoins both in short-run long-run. In short-run, a decrease price has greater than an increase prices altcoins. asymmetry is more frequent after 2017 cryptocurrency crash.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2021
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2020.101754