Gold prices and the cryptocurrencies: Evidence of convergence and cointegration


Adebola, Solarin Sakiru and Gil-Alana, Luis A. and Madigu, Godfrey (2019) Gold prices and the cryptocurrencies: Evidence of convergence and cointegration. Physica A: Statistical Mechanics and its Applications, 523. pp. 1227-1236. ISSN 0378-4371

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This paper deals with the analysis of the relationship between cryptocurrencies and gold prices. In particular, we use fractional integration and cointegration techniques to examine the degree of persistence of the series and the possibility of short and long run equilibrium relationships between them. Our results indicate that there is evidence of mean reversion in gold prices and also in some of the cryptocurrencies; however, cointegration is only found in a few cases with a very small degree of cointegration in the long run relationship. Testing the hypothesis of convergence throughout the ratios, again we only found evidence of mean reversion in the cases of Bytecoin, Dash, Ether, Monero and Ether.

Item Type: Article
Uncontrolled Keywords: Gold prices, Cryptocurrencies, Cointegration, Convergence
Subjects: H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
Divisions: Faculty of Business (FOB)
Depositing User: Ms Suzilawati Abu Samah
Date Deposited: 07 Mar 2022 01:20
Last Modified: 07 Mar 2022 01:20


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