Asymmetric link between energy market and crypto market

Anshul Agrawal ()
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Anshul Agrawal: GNIOT Institute of Management Studies, Greater Noida, Uttar Pradesh 201310, India

International Journal of Financial Engineering (IJFE), 2024, vol. 11, issue 01, 1-20

Abstract: This paper examines the nonlinear (NL) asymmetric long- and short-run interconnections between energy indices (S&P 500-ENERGY, MSCI-CHINA, and MSCI-WORLD) and the crypto (Bitcoin) market. The daily data have been used from January 1, 2013, to February 24, 2023, archived from the wind database. We use a nonlinear autoregressive distributed lag (NARDL) framework for the research to be empirical. The NARDL test reveals the presence of a nonlinear asymmetric relationship, both in the long-run and short-run, among the MSCI-China, MSCI-World, S&P500-ENERGY indices, and the price of Bitcoin. The S&P 500 energy index and Bitcoin price have an inverse asymmetric connection. The prices of Bitcoin are positively influenced by both positive and negative shifts in the MSCI-CHINA and MSCI-WORLD indices. Overall, this study underscores the growing significance of the cryptocurrency market as a hedge against risks, offering evidence that Bitcoin can be perceived as a safe haven amidst the turbulence of the energy market. This insight holds implications for Bitcoin investors, suggesting its potential as a refuge in times of energy market instability.

Keywords: Bitcoin; safe haven; hedge; nonlinear; energy stocks (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S242478632350038X

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