Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple

Sammanfattning: The purpose of this paper is to examine if there is cointegration between the daily closing price of the cryptocurrency Bitcoin and five other cryptocurrencies; Ethereum, Ripple, Bitcoin Cash, EOS and Litecoin in five different time periods, all ending April 9, 2019. To test if there is a long-run relationship between Bitcoin and these mentioned cryptocurrencies, two different tests for cointegration are applied; the Engle-Granger two step approach and Johansen’s cointegration test as well as a Vector Error Correction Model (VECM). The results from both cointegration tests suggest that Bitcoin is cointegrated with Bitcoin Cash, Ethereum, Litecoin and Ripple. The Johansen test and the Engle-Granger method for cointegration demonstrate that Bitcoin and EOS do not have any cointegrating relationship. Another finding is that, based on the results from the VECM estimation, the price of Bitcoin has a statistically significant long-run impact on the prices of Bitcoin Cash, Ethereum, Litecoin and Ripple.