In this study, we try to examine the long-run relations between Bitcoin and financial and commodity markets. For this purpose, we use a novel method what we call as implicit asymmetric combined cointegration method, which is an augmented version of Bayer & Hanck combined cointegration Method. By using the ten-minutes high frequency data, we apply this method to asymmetric shocks associated with Bitcoin, stock markets, future indices, sectoral stock indices, Islamic stocks, commodities and foreign exchange markets. According to the main result of the study, there is implicit asymmetric cointegration between negative Bitcoin shocks and both negative and positive shocks of each financial instruments in almost all cases.
Thus, there is no indication of decoupling in terms of the connections between Bitcoin shocks and other financial instrument shocks. The results of our study show that Bitcoin has been in the center of financial investments and there are long-run relationships between shocks of Bitcoin price and that of other financial instruments. These interesting results should be taken cautiously by every participant of not only financial markets but also commodity markets as well, since Bitcoin seems to be one of the major sources of volatility recently seen in these instruments’ prices.
17:30 – 17:40 – opening speech
17:40 – 18:25 – presentation by Mustafa Özer, topic: “High Frequency Data Analysis of Hidden Linkages between Bitcoin and Financial, and Commodity Markets”
18:25 – 18:55 – discussion
18:55 – 19:00 – Closing remarks: announcements of the next workshops