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Gold prices and the cryptocurrencies: Evidence of convergence and cointegration

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  • Adebola, Solarin Sakiru
  • Gil-Alana, Luis A.
  • Madigu, Godfrey

Abstract

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.

Suggested Citation

  • Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
  • Handle: RePEc:eee:phsmap:v:523:y:2019:i:c:p:1227-1236
    DOI: 10.1016/j.physa.2019.04.123
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    More about this item

    Keywords

    Gold prices; Cryptocurrencies; Cointegration; Convergence;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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