On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis

This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Natural Gas with the health crisis. That is why one might apply fractional cointegration analysis on daily data over the period 01/09/2019–30/04/2020. Our results indicate the presence of fractional int...

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Detalles Bibliográficos
Autores principales: Bejaoui, Azza, Mgadmi, Nidhal, Moussa, Wajdi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Published by Elsevier Ltd. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8968175/
https://www.ncbi.nlm.nih.gov/pubmed/35378819
http://dx.doi.org/10.1016/j.resourpol.2022.102682
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author Bejaoui, Azza
Mgadmi, Nidhal
Moussa, Wajdi
author_facet Bejaoui, Azza
Mgadmi, Nidhal
Moussa, Wajdi
author_sort Bejaoui, Azza
collection PubMed
description This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Natural Gas with the health crisis. That is why one might apply fractional cointegration analysis on daily data over the period 01/09/2019–30/04/2020. Our results indicate the presence of fractional integration in residual series, implying the existence of a fractional cointegration relationship. A short-run joint dynamics between Bitcoin and some other assets (Crude Oil, S&P500 and Natural Gas) is nevertheless well-pronounced. Such analysis of the long and short-term dependencies between different assets could be interesting from a portfolio perspective.
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spelling pubmed-89681752022-03-31 On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis Bejaoui, Azza Mgadmi, Nidhal Moussa, Wajdi Resour Policy Article This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Natural Gas with the health crisis. That is why one might apply fractional cointegration analysis on daily data over the period 01/09/2019–30/04/2020. Our results indicate the presence of fractional integration in residual series, implying the existence of a fractional cointegration relationship. A short-run joint dynamics between Bitcoin and some other assets (Crude Oil, S&P500 and Natural Gas) is nevertheless well-pronounced. Such analysis of the long and short-term dependencies between different assets could be interesting from a portfolio perspective. Published by Elsevier Ltd. 2022-08 2022-03-31 /pmc/articles/PMC8968175/ /pubmed/35378819 http://dx.doi.org/10.1016/j.resourpol.2022.102682 Text en © 2022 Published by Elsevier Ltd. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Bejaoui, Azza
Mgadmi, Nidhal
Moussa, Wajdi
On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
title On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
title_full On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
title_fullStr On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
title_full_unstemmed On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
title_short On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
title_sort on the relationship between bitcoin and other assets during the outbreak of coronavirus: evidence from fractional cointegration analysis
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8968175/
https://www.ncbi.nlm.nih.gov/pubmed/35378819
http://dx.doi.org/10.1016/j.resourpol.2022.102682
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