Long- and Short-Run Drivers of Prices in Five Cryptocurrencies

Summary

The study analyzes weekly prices for Bitcoin, Ethereum, Dash, Litecoin, and Monero from 2010 through 2018 using an autoregressive distributed lag approach. It examines cryptocurrency market beta, trading volume, volatility, cryptocurrency attractiveness, and the S&P 500 as possible price influences. The reported results identify beta, volume, and volatility as significant factors for all five coins in both the short and long run, while attractiveness is associated with prices only over the long run.

The reported S&P 500 relationship is weakly positive over the long run for Bitcoin, Ethereum, and Litecoin; short-run estimates turn negative and are generally insignificant, with a reported exception for Bitcoin. Error-correction results indicate that the cointegrated series return toward long-run equilibrium, with different adjustment speeds across the five assets. These are findings from a specific historical sample and model. The document does not describe variable construction, controls, robustness checks, or causal identification, so the reported associations should not be read as proof that the factors cause cryptocurrency price changes.

Key ideas

• The study applies an autoregressive distributed lag model to weekly data for five cryptocurrencies from 2010 to 2018.
• Market beta, trading volume, and volatility are reported as significant short- and long-run price factors for all five coins.
• Cryptocurrency attractiveness is associated with prices over the long run, but not the short run.
• The S&P 500 has a weak positive long-run relationship with Bitcoin, Ethereum, and Litecoin in the reported results.
• Error-correction models indicate convergence toward long-run equilibrium at asset-specific rates.

Tags

# Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero


# Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero









This paper examines factors that influence prices of most common five cryptocurrencies such as 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.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.