TY - JOUR

T1 - Do bitcoin shocks truly Cointegrate with financial and commodity markets?

AU - Ozer, Mustafa

AU - Frommel, Michael

AU - Kamisli, Melik

AU - Вукович, Дарко

N1 - Özer, M., Frömmel, M., Kamişli, M., & Vukovic, D. (2024). Do Bitcoin Shocks Truly Cointegrate with Financial and Commodity Markets? International Review of Financial Analysis, 95(A), 103354, doi: https://doi.org/10.1016/j.irfa.2024.103354

PY - 2024/10/1

Y1 - 2024/10/1

N2 - This study examines the long-run relationships between Bitcoin and various financial and commodity markets. Utilizing a novel methodology termed the Implicit Asymmetric Combined Cointegration Test (IACC), an augmented variant of the Bayer Hanck combined cointegration method (BH), this research applies ten-minute frequency time series data to test asymmetric shocks associated with Bitcoin, stock markets, futures indices, sectoral stock indices, Islamic stocks, commodities, and foreign exchange markets. The principal finding reveals a hidden cointegration between negative Bitcoin shocks and both negative and positive shocks in almost all examined financial instruments, indicating an absence of decoupling in the connections between Bitcoin shocks and other financial instrument shocks. The study demonstrates Bitcoin's centrality in financial investments and establishes long-run relationships between Bitcoin price shocks and those of other financial instruments. The findings suggest caution for participants in both financial and commodity markets, as Bitcoin emerges as a major source of the recent volatility observed in these instruments' prices.

AB - This study examines the long-run relationships between Bitcoin and various financial and commodity markets. Utilizing a novel methodology termed the Implicit Asymmetric Combined Cointegration Test (IACC), an augmented variant of the Bayer Hanck combined cointegration method (BH), this research applies ten-minute frequency time series data to test asymmetric shocks associated with Bitcoin, stock markets, futures indices, sectoral stock indices, Islamic stocks, commodities, and foreign exchange markets. The principal finding reveals a hidden cointegration between negative Bitcoin shocks and both negative and positive shocks in almost all examined financial instruments, indicating an absence of decoupling in the connections between Bitcoin shocks and other financial instrument shocks. The study demonstrates Bitcoin's centrality in financial investments and establishes long-run relationships between Bitcoin price shocks and those of other financial instruments. The findings suggest caution for participants in both financial and commodity markets, as Bitcoin emerges as a major source of the recent volatility observed in these instruments' prices.

KW - Asymmetric shocks

KW - Bitcoin

KW - Commodity market

KW - Financial instruments

KW - The implicit asymmetric combined cointegration test

UR - https://www.sciencedirect.com/science/article/pii/S1057521924002862?dgcid=author

UR - https://www.mendeley.com/catalogue/f13222df-0c1d-3cfa-bc09-854e224af9cf/

U2 - 10.1016/j.irfa.2024.103354

DO - 10.1016/j.irfa.2024.103354

M3 - Article

VL - 95

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

IS - A

M1 - 103354

ER -