The Coins’ Other Side – Dynamic Relationships Between Pre-Crash Cryptocurrency Prices and Their Determinants

Jan Swiatkowski, Lukas Koenig, Hans-Peter Burghof
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Abstract

Cryptocurrencies have become one of the most important and most disputed aspects in financial markets. However, the understanding of the price formation process for blockchain-based cryptocurrencies is still limited. This paper analyzes factors influencing the price of the five cryptocurrencies Bitcoin, Ethereum, Dash, Litecoin, and Monero in the time between January 2014 and July 2017. We conduct a Granger Causality study by estimating vector autoregressive models, vector error correction models, and autoregressive distributed lag models in order to test previously developed hypotheses on price determinants. The results suggest that the proportion of value of the global cryptocurrency portfolio as well as public attention are the two key factors that drive prices. The findings indicate that cryptocurrencies are subject to the formation of price bubbles, due to the reinforcing mechanism of positive feedback trading, herding, and public attention.
硬币的另一面——崩溃前加密货币价格与其决定因素之间的动态关系
加密货币已经成为金融市场中最重要也是最具争议的方面之一。然而,对基于区块链的加密货币的价格形成过程的理解仍然有限。本文分析了2014年1月至2017年7月期间影响比特币、以太坊、达世币、莱特币和门罗币五种加密货币价格的因素。我们通过估计向量自回归模型、向量误差修正模型和自回归分布滞后模型进行格兰杰因果关系研究,以检验先前关于价格决定因素的假设。结果表明,全球加密货币投资组合的价值比例以及公众关注是推动价格的两个关键因素。研究结果表明,由于正反馈交易、羊群效应和公众关注的强化机制,加密货币容易形成价格泡沫。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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