【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.
评论