The relationship between bitcoin and energy commodities: AutoRegressive distributed lag approach

Fathi Jouini, Ahlem Selma Messai and Abdelkader Mohamed Sghaier Derbali
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Fathi Jouini: Department of Finance and Accounting, Faculty of Economic Sciences and Management of Sousse, Sousse University, Sousse, Tunisia
Ahlem Selma Messai: Department of Finance, College of Business Administration, King Faisal University, Saudi Arabia
Abdelkader Mohamed Sghaier Derbali: Department of Administrative and Financial Sciences and Techniques, Applied College, Taibah University, Medinah, Saudi Arabia4Department of Finance and Accounting, Higher Institute of Informatics and Management of Kairouan, Kairouan University, Kairouan, Tunisia

International Journal of Financial Engineering (IJFE), 2022, vol. 09, issue 04, 1-16

Abstract: The purpose of this paper is to study the relationship between bitcoin and energy commodities through the period of study from August 11, 2015 to March 31, 2018. For the econometric methodology, we utilize ARDL model, the cointegration relationship and the Granger Causality. From the empirical findings, we can observe that the presence of a short-term relationship between the variables with respect to the long-term relationship is significant and low. This result indicates the excessive volatility of bitcoin. The Granger causality test demonstrates the presence of unidirectional relationship between bitcoin and the variables representing energy and commodity products. Our paper contributes to the literature by applying for the first time many approaches together such as ARDL model, Granger Causality, Causality of Tada and Yamamoto, Cointegration relationship in short term and long term.

Keywords: Bitcoin; energy commodities; ARDL; cointegration (search for similar items in EconPapers)
JEL-codes: D53 G32 Q43 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S2424786322500050

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