【Author】
Bejaoui, Azza; Mgadmi, Nidhal; Moussa, Wajdi
【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.
【标题】冠状病毒爆发期间比特币与其他资产的关系：来自分数协整分析的证据
【摘要】本文试图调查比特币与原油、标准普尔500指数和天然气与健康危机之间的联系。这就是为什么人们可能会对2019 年 1 月 9 日至 2020 年 4 月 30 日期间的每日数据应用分数协整分析。我们的结果表明残差序列中存在分数积分，这意味着存在分数协整关系。尽管如此，比特币与其他一些资产（原油、标准普尔 500 指数和天然气）之间的短期联合动态相关仍然很明显。从投资组合的角度来看，对不同资产之间长期和短期依赖关系的分析可能会很有趣。
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