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

Azza Bejaoui; Nidhal Mgadmi; Wajdi Moussa

doi:10.1016/j.resourpol.2022.102682

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

Resour Policy. 2022 Aug:77:102682. doi: 10.1016/j.resourpol.2022.102682. Epub 2022 Mar 31.

Authors

Azza Bejaoui¹, Nidhal Mgadmi², Wajdi Moussa³

Affiliations

¹ Accounting and Finance Department, Higher School of Commerce, University of Manouba, Tunis, Tunisia.
² Quantitative Methods and Economics Department, Faculty of Economics and Management, Mahdia, Tunisia.
³ Quantitative Methods and Economics Department, High Institute of Management, Tunis, Tunisia.

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.