Gold prices and the cryptocurrencies: Evidence of convergence and cointegration

【Author】 Adebola, Solarin Sakiru; Gil-Alana, Luis A.; Madigu, Godfrey

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】This paper deals with the analysis of the relationship between cryptocurrencies and gold prices. In particular, we use fractional integration and cointegration techniques to examine the degree of persistence of the series and the possibility of short and long run equilibrium relationships between them. Our results indicate that there is evidence of mean reversion in gold prices and also in some of the cryptocurrencies; however, cointegration is only found in a few cases with a very small degree of cointegration in the long run relationship. Testing the hypothesis of convergence throughout the ratios, again we only found evidence of mean reversion in the cases of Bytecoin, Dash, Ether, Monero and Ether. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Gold prices; Cryptocurrencies; Cointegration; Convergence

【发表时间】2019 1-Jun

【收录时间】2022-01-02

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