首页|On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis
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NSTL
Elsevier
? 2022This 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.
Bejaoui A.、Mgadmi N.、Moussa W.
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Accounting and Finance Department Higher School of Commerce University of Manouba
Quantitative Methods and Economics Department Faculty of Economics and Management
Quantitative Methods and Economics Department High Institute of Management
NSTL
Elsevier
