TY - JOUR
T1 - Lead-lag relationship between Bitcoin and Ethereum
T2 - Evidence from hourly and daily data
AU - Sifat, Imtiaz Mohammad
AU - Mohamad, Azhar
AU - Mohamed Shariff, Mohammad Syazwan Bin
N1 - Publisher Copyright:
© 2019 Elsevier B.V.
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2019/12
Y1 - 2019/12
N2 - This paper investigates lead-lag relationship between heavyweight cryptocurrencies Bitcoin and Ethereum. Traditional studies of information flow between markets preponderate on cash vs. futures, whereby researchers are interested in the stabilizing impact of futures on spot markets. While interest in the same relationship in the nascent cryptocurrency sphere is emerging, little is known regarding price leadership between these assets. In this paper, we employ a battery of statistical tests—VECM, Granger Causality, ARMA, ARDL and Wavelet Coherence—to identify price leadership between the two crypto heavyweights Bitcoin and Ethereum. Based on one year hourly and daily data from August 2017 through to September 2018, our tests yield varied results but largely suggest bi-directional causality between the two assets. Moreover, the results indicate that intraday crypto traders can barely exploit Bitcoin-Ethereum hourly or daily price discovery process to their advantage.
AB - This paper investigates lead-lag relationship between heavyweight cryptocurrencies Bitcoin and Ethereum. Traditional studies of information flow between markets preponderate on cash vs. futures, whereby researchers are interested in the stabilizing impact of futures on spot markets. While interest in the same relationship in the nascent cryptocurrency sphere is emerging, little is known regarding price leadership between these assets. In this paper, we employ a battery of statistical tests—VECM, Granger Causality, ARMA, ARDL and Wavelet Coherence—to identify price leadership between the two crypto heavyweights Bitcoin and Ethereum. Based on one year hourly and daily data from August 2017 through to September 2018, our tests yield varied results but largely suggest bi-directional causality between the two assets. Moreover, the results indicate that intraday crypto traders can barely exploit Bitcoin-Ethereum hourly or daily price discovery process to their advantage.
KW - Bitcoin
KW - Cryptocurrency
KW - Ethereum
KW - Lead-lag relationship
KW - Wavelet coherence
UR - http://www.scopus.com/inward/record.url?scp=85067387636&partnerID=8YFLogxK
U2 - 10.1016/j.ribaf.2019.06.012
DO - 10.1016/j.ribaf.2019.06.012
M3 - Article
AN - SCOPUS:85067387636
SN - 0275-5319
VL - 50
SP - 306
EP - 321
JO - Research in International Business and Finance
JF - Research in International Business and Finance
ER -