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Granger Causation between Bitcoin Prices and Prices of Older Cryptocurrencies

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  • Antun Fagarazzi

    (Faculty of Economics and Business, Open University of Catalonia)

Abstract

This paper analyses the relationship between Bitcoin (BTC) values and the values of older cryptocurrencies. Daily closing price data of Bitcoin (BTC), Litecoin (LTC), Namecoin (NMC), Peercoin (PPC), Ripple (XRP), Dogecoin (DOGE), Primecoin (XPM) and Nxt (NXT) for the period from December 16, 2013 to December 14, 2024 was used to perform Granger causality in two ways. The results show linear and nonlinear Granger causality in both directions between most cryptocurrencies, BTC-LTC, BTC-XRP and BTC-DOGE relationships. On the other hand, BTC does not have a causal influence on NMC, PPC and XPM in the linear model. In contrast, in the nonlinear model, BTC Granger causes NMC. These insights are crucial for understanding the complex cryptocurrency market price dynamics, aiding investors and analysts in making more informed decisions based on historical data and predictive relationships.

Suggested Citation

  • Antun Fagarazzi, 2025. "Granger Causation between Bitcoin Prices and Prices of Older Cryptocurrencies," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 76(6), pages 466-481.
    • Handle: RePEc:hde:epregl:v:76:y:2025:i:6:p:466-481
    DOI: 10.32910/ep.76.6.4
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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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