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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… Click to show full 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.
Journal Title: Resources Policy
Year Published: 2022
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