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五种加密货币价格的长短期驱动因素

文章 arXiv papers · 作者: Yhlas Sovbetov
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总结

该研究使用自回归分布滞后方法，分析 2010 至 2018 年间 Bitcoin、Ethereum、Dash、Litecoin 和 Monero 的周度价格。研究考察了加密货币市场贝塔、交易量、波动率、加密货币吸引力和标普 500 指数等可能影响价格的因素。报告结果显示，贝塔、交易量和波动率在短期和长期内都是五种币的重要影响因素，而加密货币吸引力仅与长期价格相关。

报告显示，标普 500 与 Bitcoin、Ethereum 和 Litecoin 的长期关系微弱为正；短期估计转为负值，且通常不显著，报告中 Bitcoin 是一个例外。误差修正结果表明，协整序列会回归长期均衡，五种资产的调整速度各不相同。这些发现来自特定历史样本和模型。本文未说明变量构造、控制变量、稳健性检验或因果识别，因此不应将报告中的相关性视为这些因素导致加密货币价格变化的证据。

核心观点

  • 该研究使用自回归分布滞后模型分析 2010 至 2018 年间五种加密货币的周度数据。
  • 报告称，市场贝塔、交易量和波动率是五种币在短期和长期价格中的显著因素。
  • 加密货币吸引力与长期价格相关，但与短期价格无关。
  • 报告结果显示，标普 500 与 Bitcoin、Ethereum 和 Litecoin 的长期关系微弱为正。
  • 误差修正模型显示，各资产以不同速度趋向长期均衡。

标签

加密资产波动率统计学美国市场
全文
# 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.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。