Market Integration between Bitcoin, Crude-Oil and Gold: Evidence from ARDL and Johansen Models
Purpose: This study investigates the short-run and long-run comovements between Bitcoin, gold, and crude oil, with the aim of assessing their interdependence and diversification properties across different investment horizons. Design/Methodology/Approach: The analysis employs the Autoregressive Distributed Lag (ARDL) approach to examine dynamic relationships among the variables. A Vector Error Correction Model (VECM) is used to estimate potential long-run equilibrium relationships. In addition, the Johansen multivariate cointegration technique is applied to test for cointegration among the assets. The study uses high-frequency intraday data (30-minute intervals) for Bitcoin, gold, and crude oil covering the period from March 3, 2021, to April 1, 2021. Findings: The results reveal that Bitcoin and gold exhibit distinct risk characteristics, yet they act as complementary investment assets. Bitcoin offers profit opportunities in the short run, whereas gold serves as a safe long-term investment. Moreover, the findings indicate no significant correlation between Bitcoin and crude oil, suggesting limited interconnectedness between cryptocurrency and energy markets. Practical Implications: The study provides valuable insights for investors and portfolio managers seeking benefits for diversification. Combining Bitcoin and gold can improve risk management across different time horizons, while crude oil appears to offer independent diversification potential when included alongside digital and traditional assets. Originality/Value: This study contributes to existing literature by employing high-frequency intraday data and a combined ARDL-VECM-Johansen framework to examine the dynamic relationships between cryptocurrencies, precious metals, and energy commodities. It offers novel empirical evidence on the time-varying investment roles of Bitcoin relative to traditional safe-haven assets.