Granger Causation between Bitcoin Prices and Prices of Older Cryptocurrencies

Abstract

This paper analyses the relationship between Bitcoin (BTC) values and the values of older cryp tocurrencies. 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 De cember 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 cryptocu rrencies, 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 cryptocu rrency market price dynamics, aiding investors and analysts in making more informed decisions based on historical data and predictive relationships.