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Dynamic Relationships Between Cryptocurrencies, Global Indexes, and Commodities: Evidence From Cointegration and Causality Tests
Abstract
This study investigates the safe haven properties of cryptocurrencies. Main contribution of the study to the literature is to reveal the relationships between cryptocurrencies and financial and commodity factors namely global indexes, gold and Brent petrol. To this end, this research aims to empirically examine the interaction between Bitcoin, Brent oil, global indexes, and gold using current cointegration and causality tests. The results of cointegration tests indicate that there is a cointegration relationship between variables. Further, the results of causality tests reveal that there is causal relationship between cryptocurrencies and financial and economic factors. The study recommends the potential investors and portfolio managers to observe the effect of financial and economic factors in making better allocation decisions and help policymakers and regulators in mitigating the negative effects of Bitcoin's volatility on financial system stability. This paper contributes to the current literature of Bitcoin prices with evidence from a large financial and economic factor.
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