EconPapers    
Economics at your fingertips  
 

Gold prices and the cryptocurrencies: Evidence of convergence and cointegration

Solarin Sakiru Adebola, Luis Gil-Alana () and Godfrey Madigu

Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 1227-1236

Abstract: This paper deals with the analysis of the relationship between cryptocurrencies and gold prices. In particular, we use fractional integration and cointegration techniques to examine the degree of persistence of the series and the possibility of short and long run equilibrium relationships between them. Our results indicate that there is evidence of mean reversion in gold prices and also in some of the cryptocurrencies; however, cointegration is only found in a few cases with a very small degree of cointegration in the long run relationship. Testing the hypothesis of convergence throughout the ratios, again we only found evidence of mean reversion in the cases of Bytecoin, Dash, Ether, Monero and Ether.

Keywords: Gold prices; Cryptocurrencies; Cointegration; Convergence (search for similar items in EconPapers)
JEL-codes: C22 G29 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119304613
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:1227-1236

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-11-05
Handle: RePEc:eee:phsmap:v:523:y:2019:i:c:p:1227-1236