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Price Transmission from Bitcoin to Altcoins: High-Frequency Evidence and Implications for Trading Strategy

Tomoki Kurihara & Takuji Matsumoto

Asia-Pacific Financial Markets2026https://doi.org/10.1007/s10690-026-09589-zarticle
AJG 2ABDC C
Weight
0.50

What the paper says

Abstract This study investigates the lagged price transmission from Bitcoin (BTC) to altcoins (ALTs) using high-frequency data and empirically validates trading strategies that leverage these market inefficiencies. Our comprehensive analysis across multiple market regimes reveals that small-cap cryptocurrencies exhibit significant delayed responses to BTC price movements. To examine this behavior, we introduce a simple indicator of immediate price responsiveness and find that lower liquidity tends to be associated with slower reactions. Granger causality tests further demonstrate unidirectional Granger-causal relationships from BTC to ALTs. Based on these findings, we develop a lag trading strategy using BTC's preceding returns as a leading indicator. Through machine learning-based trading decisions, our strategy consistently outperforms traditional buy-and-hold approaches across diverse market conditions. This research provides evidence of information transmission frictions in cryptocurrency markets and demonstrates the viability of practical investment strategies that leverage short-term anomalies. Our findings offer value to high-frequency and arbitrage traders while contributing new academic insights to the literature on cryptocurrency market microstructure.

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https://doi.org/https://doi.org/10.1007/s10690-026-09589-z

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@article{tomoki2026,
  title        = {{Price Transmission from Bitcoin to Altcoins: High-Frequency Evidence and Implications for Trading Strategy}},
  author       = {Tomoki Kurihara & Takuji Matsumoto},
  journal      = {Asia-Pacific Financial Markets},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1007/s10690-026-09589-z},
}

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Price Transmission from Bitcoin to Altcoins: High-Frequency Evidence and Implications for Trading Strategy

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.