Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data

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 i...

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Main Authors:	Mohamad, Azhar, Sifat, Imtiaz Mohammad, Mohamed Shariff, Mohammad Syazwan
Format:	Article
Language:	English English English
Published:	Elsevier 2019
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/73405/ http://irep.iium.edu.my/73405/ http://irep.iium.edu.my/73405/ http://irep.iium.edu.my/73405/1/Imtiaz%2C%20Azhar%2C%20Syazwan%20%282019%29%20RIBAF.pdf http://irep.iium.edu.my/73405/7/M.azhar.pdf http://irep.iium.edu.my/73405/13/73405_Lead-Lag%20relationship%20between%20Bitcoin%20and%20Ethereum_scopus.pdf

id	iium-73405
recordtype	eprints
spelling	iium-734052019-11-25T15:50:25Z http://irep.iium.edu.my/73405/ Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data Mohamad, Azhar Sifat, Imtiaz Mohammad Mohamed Shariff, Mohammad Syazwan HG4501 Stocks, investment, speculation 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. Elsevier 2019-12-01 Article PeerReviewed application/pdf en http://irep.iium.edu.my/73405/1/Imtiaz%2C%20Azhar%2C%20Syazwan%20%282019%29%20RIBAF.pdf application/pdf en http://irep.iium.edu.my/73405/7/M.azhar.pdf application/pdf en http://irep.iium.edu.my/73405/13/73405_Lead-Lag%20relationship%20between%20Bitcoin%20and%20Ethereum_scopus.pdf Mohamad, Azhar and Sifat, Imtiaz Mohammad and Mohamed Shariff, Mohammad Syazwan (2019) Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data. Research in International Business and Finance, 50 (1). pp. 306-321. ISSN 0275-5319 https://www.sciencedirect.com/science/article/pii/S0275531919300522?via%3Dihub 10.1016/j.ribaf.2019.06.012
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Mohamad, Azhar Sifat, Imtiaz Mohammad Mohamed Shariff, Mohammad Syazwan Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data
description	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.
format	Article
author	Mohamad, Azhar Sifat, Imtiaz Mohammad Mohamed Shariff, Mohammad Syazwan
author_facet	Mohamad, Azhar Sifat, Imtiaz Mohammad Mohamed Shariff, Mohammad Syazwan
author_sort	Mohamad, Azhar
title	Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data
title_short	Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data
title_full	Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data
title_fullStr	Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data
title_full_unstemmed	Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data
title_sort	lead-lag relationship between bitcoin and ethereum: evidence from hourly and daily data
publisher	Elsevier
publishDate	2019
url	http://irep.iium.edu.my/73405/ http://irep.iium.edu.my/73405/ http://irep.iium.edu.my/73405/ http://irep.iium.edu.my/73405/1/Imtiaz%2C%20Azhar%2C%20Syazwan%20%282019%29%20RIBAF.pdf http://irep.iium.edu.my/73405/7/M.azhar.pdf http://irep.iium.edu.my/73405/13/73405_Lead-Lag%20relationship%20between%20Bitcoin%20and%20Ethereum_scopus.pdf
first_indexed	2023-09-18T21:44:05Z
last_indexed	2023-09-18T21:44:05Z
_version_	1777413332695777280

Lead-Lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data

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