On the Relationship between Bitcoin and Other Assets During the Outbreak of Coronavirus: Evidence from Fractional Cointegration Analysis

Download This Paper Open PDF in Browser Add Paper to My Library Share: Permalink Using these links will ensure access to this page indefinitely Copy URL On the Relationship between Bitcoin and Other Assets During the Outbreak of Coronavirus: Evidence from Fractional Cointegration Analysis 10 Pages Posted: 22 Oct 2021 Last revised: 17 Jun 2022 See all articles by Béjaoui AzzaBéjaoui AzzaUniversity of Sousse - Faculty of Economic and Management Sciences; High Institute of Management - Department of Accounting and FinanceNidhal MgadmiHigh Institute of Management; University of MonastirWajdi MoussaHigh Institute of Management 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. Keywords: The health crisisThe crptocurrency marketNon- and energy commodities Econometric modelling Suggested Citation: Suggested Citation Azza, Béjaoui and Mgadmi, Nidhal and Moussa, Wajdi, On the Relationship between Bitcoin and Other Assets During the Outbreak of Coronavirus: Evidence from Fractional Cointegration Analysis. Available at SSRN: https://ssrn.com/abstract=3947714 Béjaoui Azza (Contact Author) University of Sousse - Faculty of Economic and Management Sciences ( email ) Rue Khalifa El Karoui SahloulSousse, B.P. 526Tunisia High Institute of Management - Department of Accounting and Finance TunisTunisia Nidhal Mgadmi High Institute of Management ( email ) TunisTunisia University of Monastir ( email ) Mounastir, 4100Tunisia Wajdi Moussa High Institute of Management ( email ) TunisTunisia Download This Paper Open PDF in Browser Do you have negative results from your research you'd like to share? Submit Negative Results Paper statistics Downloads 92 Abstract Views 405 Rank 502,634 6 References PlumX Metrics Related eJournals Capital Markets: Asset Pricing & Valuation eJournal Follow Capital Markets: Asset Pricing & Valuation eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 3,020 PAPERS 32,306 Economics of Networks eJournal Follow Economics of Networks eJournal Subscribe to this free journal for more curated articles on this topic FOLLOWERS 2,715 PAPERS 14,691 This Journal is curated by: Nicholas Economides at New York University - Leonard N. Stern School of Business - Department of Economics Cryptocurrency Research eJournal Follow Cryptocurrency Research eJournal Subscribe to this free journal for more curated articles on this topic FOLLOWERS 1,438 PAPERS 2,355 Health Economics eJournal Follow Health Economics eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 618 PAPERS 18,231 Econometric Modeling: Commodity Markets eJournal Follow Econometric Modeling: Commodity Markets eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 595 PAPERS 2,829 Econometric Modeling: International Financial Markets - Developed Markets eJournal Follow Econometric Modeling: International Financial Markets - Developed Markets eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 595 PAPERS 1,611 Agricultural & Natural Resource Economics eJournal Follow Agricultural & Natural Resource Economics eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 526 PAPERS 20,393 Political Economy - Development: Public Service Delivery eJournal Follow Political Economy - Development: Public Service Delivery eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 58 PAPERS 25,332 Medical & Mental Health Sociology eJournal Follow Medical & Mental Health Sociology eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 36 PAPERS 2,732 Feedback Feedback to SSRN Feedback (required) Email (required) Submit If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.