The Asymmetric Relationships Between Bitcoin Price and Other Assets Prices-An Application of the NARDL Model

• Main Authors: AN, CHE-LUN, 安哲綸
• Other Authors: LIN, MEI-YIN
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/5fytun

碩士 === 世新大學 === 經濟學研究所(含碩專班) === 107 === This study explores the asymmetric relationships between Bitcoin price and other assets prices over the period ranging from 2017/1/1 to 2018/12/28. The assets involved in this study are stock markets, currency markets and futures commodities markets. The unit root tests indicates that the variables are a mixture of I(0) and I(1) series. Therefore, we apply linear and nonlinear autoregressive distributed lags technique (ARDL and NARDL) in this research. The study uses weekly data for empirical analysis. The results show that in the long run, Dow jones index, EUR/USD exchange rate, Ether, Litecoin, Ripple and natural gas futures price have significant impact on Bitcoin price, and in the short run, Ether, Litecoin and natural gas futures price have relatively significant asymmetries with Bitcoin price.