Do bitcoin shocks truly Cointegrate with financial and commodity markets?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.irfa.2024.103354
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Sahoo, Manoranjan & Babu, M. Suresh & Dash, Umakant, 2016. "Long run sustainability of current account balance of China and India: New evidence from combined cointegration test," MPRA Paper 79013, University Library of Munich, Germany, revised 2016.
- Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
- Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
- Kyophilavong, Phouphet & Shahbaz, Muhammad & Anwar, Sabeen & Masood, Sameen, 2015.
"The energy-growth nexus in Thailand: Does trade openness boost up energy consumption?,"
Renewable and Sustainable Energy Reviews, Elsevier, vol. 46(C), pages 265-274.
- Kyophilavong, Phouphet & Shahbaz, Muhammad & Anwar, Sabeen & Masood, Sameen, 2015. "The Energy-Growth Nexus in Thailand: Does Trade Openness Boost up Energy Consumption?," MPRA Paper 61914, University Library of Munich, Germany, revised 05 Feb 2015.
- Georg Keilbar & Yanfen Zhang, 2021.
"On cointegration and cryptocurrency dynamics,"
Digital Finance, Springer, vol. 3(1), pages 1-23, March.
- Keilbar, Georg & Zhang, Yanfen, 2020. "On Cointegration and Cryptocurrency Dynamics," IRTG 1792 Discussion Papers 2020-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Anders Stensås & Magnus Frostholm Nygaard & Khine Kyaw & Sirimon Treepongkaruna, 2019. "Can Bitcoin be a diversifier, hedge or safe haven tool?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1593072-159, January.
- Balázs Égert & Evžen Kočenda, 2011.
"Time-varying synchronization of European stock markets,"
Empirical Economics, Springer, vol. 40(2), pages 393-407, April.
- Bal??zs ??gert & Ev??en Kocenda, 2007. "Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp861, William Davidson Institute at the University of Michigan.
- Bouri, Elie & Hussain Shahzad, Syed Jawad & Roubaud, David, 2020. "Cryptocurrencies as hedges and safe-havens for US equity sectors," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 294-307.
- Turgut Türsoy & Faisal Faisal, 2018. "Does financial depth impact economic growth in North Cyprus?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-13, December.
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Jinghong Wu & Ke Xu & Xinwei Zheng & Jian Chen, 2021. "Fractional cointegration in bitcoin spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1478-1494, September.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Md Samsul Alam & Md Shahidul Islam & Syed Jawad Hussain Shahzad & Shazia Bilal, 2021. "Rapid rise of life expectancy in Bangladesh: Does financial development matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 4918-4931, October.
- Xu, Yongfeng & Zhao, Xia, 2023. "Financial market risk, technology and natural resources nexus: Evidence from China," Resources Policy, Elsevier, vol. 81(C).
- Muhammad Ahad, 2017.
"Financial Development and Money Demand Function: Cointegration, Causality and Variance Decomposition Analysis for Pakistan,"
Global Business Review, International Management Institute, vol. 18(4), pages 811-824, August.
- Ahad, Muhammad, 2015. "Financial Development and Money Demand Function: Cointegration, Causality and Variance Decomposition Analysis for Pakistan," MPRA Paper 70033, University Library of Munich, Germany.
- Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Informational inefficiency of Bitcoin: A study based on high-frequency data," Research in International Business and Finance, Elsevier, vol. 47(C), pages 344-353.
- Urquhart, Andrew & Zhang, Hanxiong, 2019. "Is Bitcoin a hedge or safe haven for currencies? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 49-57.
- Ben Ameur, Hachmi & Ftiti, Zied & Louhichi, Waël, 2021. "Intraday spillover between commodity markets," Resources Policy, Elsevier, vol. 74(C).
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Guesmi, Khaled & Saadi, Samir & Abid, Ilyes & Ftiti, Zied, 2019. "Portfolio diversification with virtual currency: Evidence from bitcoin," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 431-437.
- Albrecht, Peter & Kočenda, Evžen, 2024.
"Volatility connectedness on the central European forex markets,"
International Review of Financial Analysis, Elsevier, vol. 93(C).
- Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2023. "Volatility Connectedness on the Central European Forex Markets," CESifo Working Paper Series 10728, CESifo.
- Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
- Narayan Sethi & Saileja Mohanty & Sanhita Sucharita & Nanthakumar Loganathan, 2020. "Tax Reform And Economic Growth Nexus In India: Evidence From The Cointegration And Rolling-Window Causality," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(06), pages 1699-1725, December.
- Abubakr Naeem, Muhammad & Iqbal, Najaf & Lucey, Brian M. & Karim, Sitara, 2022. "Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
- Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(1), pages 99-125.
- Jessica Paule-Vianez & Camilo Prado-Román & Raúl Gómez-Martínez, 2020. "Economic policy uncertainty and Bitcoin. Is Bitcoin a safe-haven asset?," European Journal of Management and Business Economics, Emerald Group Publishing Limited, vol. 29(3), pages 347-363, March.
- Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 702-715.
- Manoranjan Sahoo & M. Suresh Babu & Umakant Dash, 2019. "Asymmetric effects of exchange rate movements on traditional and modern services exports: Evidence from a large emerging economy," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 28(4), pages 508-531, May.
- Muhammad Owais Qarni & Saiqb Gulzar, 2021. "Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
- Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022. "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
- Diebold, Francis X. & Yilmaz, Kamil, 2012.
"Better to give than to receive: Predictive directional measurement of volatility spillovers,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
- Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
- Darko B. Vukovic & Edin Hanic & Hasan Hanic, 2017. "Financial Integration In The European Union - The Impact Of The Crisis On The Bond Market," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 12(2), pages 195-210, June.
- Elie Bouri & Naji Jalkh & Peter Molnár & David Roubaud, 2017.
"Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?,"
Applied Economics, Taylor & Francis Journals, vol. 49(50), pages 5063-5073, October.
- Elie Bouri & Naji Jalkh & Peter Molnár & David Roubaud, 2017. "Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?," Post-Print hal-02008553, HAL.
- Christian Bayer & Christoph Hanck, 2013.
"Combining non-cointegration tests,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 83-95, January.
- Bayer, C & Hanck, C.H., 2009. "Combining non-cointegration tests," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Abdulnasser Hatemi-J & Manuchehr Irandoust, 2012. "Asymmetric interaction between government spending and terms of trade volatility: New evidence from hidden cointegration technique," Journal of Economic Studies, Emerald Group Publishing, vol. 39(3), pages 368-378, December.
- Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
- Yaxian Lu & Longguang Yang & Lihong Liu, 2019. "Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis," Sustainability, MDPI, vol. 11(2), pages 1-12, January.
- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Ferrer, Roman & Hammoudeh, Shawkat, 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach," Economic Modelling, Elsevier, vol. 60(C), pages 211-230.
- Li, Jing-Ping & Naqvi, Bushra & Rizvi, Syed Kumail Abbas & Chang, Hsu-Ling, 2021. "Bitcoin: The biggest financial innovation of fourth industrial revolution and a portfolio's efficiency booster," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
- Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
- Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
- Awaworyi Churchill, Sefa & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2019. "Dynamics of oil price, precious metal prices and the exchange rate in the long-run," Energy Economics, Elsevier, vol. 84(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022. "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 60(C).
- Waqas Hanif & Hee-Un Ko & Linh Pham & Sang Hoon Kang, 2023. "Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
- Jiang, Yonghong & Lie, Jiayi & Wang, Jieru & Mu, Jinqi, 2021. "Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective," Economic Modelling, Elsevier, vol. 95(C), pages 21-34.
- Raifu, Isiaka Akande & Ogbonna, Ahamuefula E, 2021. "Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries," MPRA Paper 113139, University Library of Munich, Germany.
- Wang, Gang-Jin & Ma, Xin-yu & Wu, Hao-yu, 2020. "Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?," Research in International Business and Finance, Elsevier, vol. 54(C).
- Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad, 2022. "Safe haven properties of green, Islamic, and crypto assets and investor's proclivity towards treasury and gold," Energy Economics, Elsevier, vol. 115(C).
- Vassilis Monastiriotis & Cigdem Borke Tunali, 2020.
"The Sustainability of External Imbalances in the European Periphery,"
Open Economies Review, Springer, vol. 31(2), pages 273-294, April.
- Vassilis Monastiriotis & Cigdem Borke Tunali, 2016. "The Sustainability of External Imbalances in the European Periphery," LEQS – LSE 'Europe in Question' Discussion Paper Series 106, European Institute, LSE.
- Monastiriotis, Vassilis & Tunali, Cigdem Borke, 2020. "The sustainability of external imbalances in the European periphery," LSE Research Online Documents on Economics 101540, London School of Economics and Political Science, LSE Library.
- Xia, Wanjun & Murshed, Muntasir & Khan, Zeeshan & Chen, Zhenling & Ferraz, Diogo, 2022. "Exploring the nexus between fiscal decentralization and energy poverty for China: Does country risk matter for energy poverty reduction?," Energy, Elsevier, vol. 255(C).
- Ahmed Samour & Omar Ikbal Tawfik & Magdalena Radulescu & Cristina Florentina Baldan, 2023. "Do Oil Price, Renewable Energy, and Financial Development Matter for Environmental Quality in Oman? Novel Insights from Augmented ARDL Approach," Energies, MDPI, vol. 16(12), pages 1-14, June.
- Angeliki N. Menegaki, 2019. "The ARDL Method in the Energy-Growth Nexus Field; Best Implementation Strategies," Economies, MDPI, vol. 7(4), pages 1-16, October.
- Ahmed, Khalid, 2017. "Revisiting the role of financial development for energy-growth-trade nexus in BRICS economies," Energy, Elsevier, vol. 128(C), pages 487-495.
- Baur, Dirk G. & Hoang, Lai T. & Hossain, Md Zakir, 2022. "Is Bitcoin a hedge? How extreme volatility can destroy the hedge property," Finance Research Letters, Elsevier, vol. 47(PB).
- Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei, 2020. "How does economic policy uncertainty affect the bitcoin market?," Research in International Business and Finance, Elsevier, vol. 53(C).
- Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
- Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
- Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
- Mallick, Hrushikesh & Mahalik, Mantu Kumar & Sahoo, Manoranjan, 2018. "Is crude oil price detrimental to domestic private investment for an emerging economy? The role of public sector investment and financial sector development in an era of globalization," Energy Economics, Elsevier, vol. 69(C), pages 307-324.
- Orazaliyev Kanat & Zhijun Yan & Muhammad Mansoor Asghar & Syed Anees Haider Zaidi & Abdul Sami, 2024. "Gender Inequality and Poverty: The Role of Financial Development in Mitigating Poverty in Pakistan," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 11848-11876, September.
- Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Jin Seo Cho & Matthew Greenwood‐Nimmo & Yongcheol Shin, 2023.
"Recent developments of the autoregressive distributed lag modelling framework,"
Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 7-32, February.
- Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
More about this item
Keywords
Bitcoin; Asymmetric shocks; Commodity market; Financial instruments; The implicit asymmetric combined cointegration test;All these keywords.
JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- Q2 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation
- F31 - International Economics - - International Finance - - - Foreign Exchange
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002862. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.