Market Integration between Bitcoin, Crude-Oil and Gold: Evidence from ARDL and JOHANSEN Models
Purpose: This study investigates the long-term and short-term relationships between Bitcoin, gold, and crude oil, with the aim of assessing their interaction dynamics and diversification properties within financial markets. Design/Methodology/Approach: The analysis relies on the Auto Regressive Distributed Lag (ARDL) approach proposed by Pesaran et al. (2001) to examine both short-run and long-run relationships among the variables. A Vector Error Correction Model (VECM) is employed to capture long-term adjustments toward equilibrium. In addition, multivariate cointegration is tested using the Johansen (1988) methodology. The empirical investigation is conducted using high-frequency (intraday) Bitcoin data alongside gold and oil prices. Findings: The results reveal the existence of distinct risk dynamics between Bitcoin and gold, suggesting that they behave differently across investment horizons while remaining complementary assets. In the short run, Bitcoin offers higher profit opportunities, whereas gold serves as a safe and stable long-term investment. The findings further indicate the absence of a significant relationship between Bitcoin and crude oil, highlighting their independence in terms of price movements. PracticalImplications: These results provide valuable insights for investors and portfolio managers seeking to enhance diversification strategies by combining digital assets with traditional commodities. The complementary nature of Bitcoin and gold can help improve portfolio risk management across different time horizons. Originality/Value: This study contributes to the growing literature on cryptocurrencies by offering empirical evidence on the dynamic linkages between Bitcoin, gold, and oil using both ARDL and Johansen cointegration frameworks. The use of high-frequency data strengthens the robustness of the findings and provides a deeper understanding of short-term and long-term investment behaviour.