Investigation of the Relationship Between Brent Oil and Cryptocurrencies During the Pandemic Period

Kurt, Abdulkadir; Kula, Veysel

doi:10.51410/jcgirm.8.1.9

Cited by 1 publication

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References 43 publications

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“…Their results imply that the Bitcoin market actively interacts with major asset markets, and its long-term equilibrium, as a nascent market, gradually synchronizes with that of other investment assets. In addition, Kurt and Kula (2021) investigated the causality relationship among Brent oil, Bitcoin, and Ethereum by applying the Granger causality test. As a result of the study, a bidirectional causality relationship was determined between Brent oil and Ethereum.…”

Section: Introductionmentioning

confidence: 99%

The Causal Relationship between Cryptocurrencies and Other Major World Economic Assets: A Granger Causality Test

Detthamrong,

Prabpala,

Takhom

et al. 2023

ABAC J

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This study examines the causal relationship between cryptocurrencies and other major world economic assets, such as gold, stocks, oil, and bonds, using both Granger causality and correlation analyses. The study focuses on the period between 2018 and 2022, using a vector autoregressive model (VAR) to analyze data on cryptocurrencies and other major world economic assets, which collectively represent over 90% of the market during the observed period. Results show that correlation clearly identifies causal interdependency between cryptocurrencies and other major world economic assets and that the variation in cryptocurrencies increasingly explains other major world economic assets. The results reveal that there is Granger causality between the cryptocurrencies (Tether, USD Coin, and Binance USD) and the other major world economic assets (BOND, SP500, and GOLD). Additionally, the study finds evidence that market inefficiency in the cryptocurrency market increased between 2018 and 2022. The findings suggest that the properties of the cryptocurrency market are highly dynamic and that researchers should be hesitant to generalize the market properties observed during idiosyncratic periods. The relevant information is swiftly reflected in asset prices when investors are more interested in a news event, increasing volatility. Strong evidence suggests that volatility spill overs increase sharply at this time. The structure of these markets frequently changes, and a large number of cryptocurrencies appear and disappear every day.

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Section: Introductionmentioning

confidence: 99%