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

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dc.authorid0000-0001-8184-3285
dc.authorid0000-0002-2430-5592
dc.authorid0000-0003-4034-269X
dc.contributor.authorDemir, Ender
dc.contributor.authorSimonyan, Serdar
dc.contributor.authorGarcia-Gomez, Conrado-Diego
dc.contributor.authorLau, Chi Keung Marco
dc.date.accessioned2025-05-10T19:49:29Z
dc.date.issued2021
dc.departmentİstanbul Medeniyet Üniversitesi
dc.description.abstractThis 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.
dc.description.sponsorshipSpanish Public Funds through Ministry of Economy and Competitiveness [ECO2017-84864-P]
dc.description.sponsorshipThis research has been financed by Spanish Public Funds through Ministry of Economy and Competitiveness in the framework of the project ECO2017-84864-P.
dc.identifier.doi10.1016/j.frl.2020.101754
dc.identifier.issn1544-6123
dc.identifier.issn1544-6131
dc.identifier.scopus2-s2.0-85092485601
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.frl.2020.101754
dc.identifier.urihttps://hdl.handle.net/20.500.14730/12051
dc.identifier.volume40
dc.identifier.wosWOS:000691743000004
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherAcademic Press Inc Elsevier Science
dc.relation.ispartofFinance Research Letters
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20250302
dc.subjectCryptocurrency
dc.subjectAsymmetry
dc.subjectEthereum
dc.subjectRipple
dc.subjectLitecoin
dc.subjectNARDL
dc.titleThe asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model
dc.typeArticle

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