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Published on: November 10, 2023
On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional
Azza Bejaoui1, Nidhal Mgadmi2, Wajdi Moussa3
1Accounting and Finance Department, Higher School of Commerce, University of Manouba, 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.
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