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

Azza Bejaoui, Nidhal Mgadmi and Wajdi Moussa

Resources Policy, 2022, vol. 77, issue C

Abstract: 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.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001301

DOI: 10.1016/j.resourpol.2022.102682

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