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The relationship between bitcoin and energy commodities: AutoRegressive distributed lag approach

Author

Listed:
  • Fathi Jouini

    (Department of Finance and Accounting, Faculty of Economic Sciences and Management of Sousse, Sousse University, Sousse, Tunisia)

  • Ahlem Selma Messai

    (Department of Finance, College of Business Administration, King Faisal University, Saudi Arabia)

  • Abdelkader Mohamed Sghaier Derbali

    (Department of Administrative and Financial Sciences and Techniques, Applied College, Taibah University, Medinah, Saudi Arabia4Department of Finance and Accounting, Higher Institute of Informatics and Management of Kairouan, Kairouan University, Kairouan, Tunisia)

Abstract

The purpose of this paper is to study the relationship between bitcoin and energy commodities through the period of study from August 11, 2015 to March 31, 2018. For the econometric methodology, we utilize ARDL model, the cointegration relationship and the Granger Causality. From the empirical findings, we can observe that the presence of a short-term relationship between the variables with respect to the long-term relationship is significant and low. This result indicates the excessive volatility of bitcoin. The Granger causality test demonstrates the presence of unidirectional relationship between bitcoin and the variables representing energy and commodity products. Our paper contributes to the literature by applying for the first time many approaches together such as ARDL model, Granger Causality, Causality of Tada and Yamamoto, Cointegration relationship in short term and long term.

Suggested Citation

  • Fathi Jouini & Ahlem Selma Messai & Abdelkader Mohamed Sghaier Derbali, 2022. "The relationship between bitcoin and energy commodities: AutoRegressive distributed lag approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-16, December.
    • Handle: RePEc:wsi:ijfexx:v:09:y:2022:i:04:n:s2424786322500050
    DOI: 10.1142/S2424786322500050
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    More about this item

    Keywords

    Bitcoin; energy commodities; ARDL; cointegration;
    All these keywords.

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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