Interactive Relationships Between Bitcoin, Futures, Crude Oil, and Gold Prices: Co-Jump or Cointegration

比特幣、期貨、原油和黃金價格之間的互動關係：共跳躍或共整合

Kuo-Shing Chen ； Kuo-Shing Chen(陳國興)

《財務金融學刊》 32卷3期 (2024/09) Pp. 115-159

https://doi.org/10.6545/JFS.202409_32(3).0003

摘要

In this study, I empirically investigate the effect of co-jump activity among multiple assets including Bitcoin, E-Mini S&P 500 futures, oil, and gold prices. The study also examines whether these assets' returns jump together and the preliminary results illustrate evidence of co-jumping behavior, especially in crude oil. These empirical findings demonstrate that an asset pricing model including co-jumps information between Bitcoin and the major commodities markets can provide a higher accuracy prediction. Finally, this research reveals that futures prices, gold prices, and their corresponding volatilities have a non-linear influence on Bitcoin in long-run dynamics using asymmetric ARDL cointegration model.

關鍵字

Blockchain ； co-jump ； NARDL Bound cointegration test ； FinTech

並列摘要

本文研究多種資產包括比特幣、E-Mini S&P 500期貨、石油和黃金價格之間共跳躍活動的影響，並檢驗這些資產的報酬是否亦具共跳躍行為。比特幣和主要商品市場之間的共跳躍現象可提供更準確的資產定價預測。最後，以不對稱ARDL共整合檢驗發現期貨價格、黃金價格及其相應的波動率在長期動態中對比特幣具有非線性影響

並列關鍵字

區塊鏈 ； 共跳躍 ； NARDL Bound共整合檢驗 ； 金融科技

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