Investigating the long-run relation between crypto-currencies and other assets

Investigating the long-run relation between crypto-currencies and other assets

Author
محمد منير عبد القادر جحا ، عبد الله عدنان رزق ، تولين محي الدين الطيار ، تالا محي الدين الطيار ؛ إشراف سليمان موصللي
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Crypto-currencies are financial assets with high volatility, which calls for an investigation of the long-run relation between crypto-currencies and other assets. The present study aims to explore the long-run relation between crypto-currencies and assets such as Gold and Oil Contracts For Differences (CFDs), the CBOE volatility index (VIX) and the Dow Jones Industrial Average Index. To this purpose, we analyze this relation using the Autoregressive Distributed Lag (ARDL) approach based on quarterly data for the period between first quarter of 2011 and first quarter of 2022, and monthly data for the period between Jan. 2018 and March 2022.



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