Investigation of Dynamic Conditional Correlation and Causal Relationship between Price of Cryptocurrencies with Emphasis on the Role of Creation Mechanism and Consensus in Them

The entry of cryptocurrencies into the capital market and their increasing price has created a fundamental change in the international currency and monetary exchanges of the world. The present study uses data from 2015 to 2021 to investigate the relationship between causality and dynamic conditional correlation between the price variable of 9 cryptocurrencies with different creation mechanisms. The results of this study show that Bitcoin, Litecoin and Ethereum, which have a proof-of-work mechanism, have a dynamic conditional correlation relationship in the short and long run.On the other hand, the dynamic conditional correlation coefficient of Ripple, Nano and Monero that have proof of stake mechanism and EOS, Tron and Stellar that have new consensus mechanisms were not significant in the short run but in the long run, their relationship is statistically significant. Also, there is a two-way causality relationship between the price of Bitcoin, Litecoin, Ethereum and Monero. But among the prices of Tron, Stellar, Nano and Ripple with a newer consensus mechanism than other cryptocurrencies, there is mainly a one-way causality relationship.