Asymmetric Nexus Between Gold and Bitcoin: New Evidence from Hidden Cointegration Approach

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dc.contributor.authorYildiz, Umit
dc.date.accessioned2026-09-01T15:52:34Z
dc.date.available2026-09-01T15:52:34Z
dc.date.issued2026
dc.departmentBayburt Üniversitesi
dc.description.abstractThe main objective of this study is to investigate the symmetric and asymmetric linkages between gold, a traditional investment instrument, and Bitcoin, often referred to as the "digital gold" of cryptocurrencies, and to determine their direction and magnitude. Forthis purpose, the study examines cointegration relationships amongthe variables using weekly data from January 2, 2022, to April 5, 2026. According to the Engle & Granger (1987) cointegration test, there is no long-term relationship between the variables. However, the Granger &Yoon (2002) hidden cointegration test determined hidden cointegration relationships from the gold's positive components to the Bitcoin's positive components and from the Bitcoin's positive components to the gold's negative components. Subsequently, longterm coefficients are estimated using FMOLS, DOLS, and CCR estimators. The results show that a 1% increase in gold's positive shocks leads to approximately a 0.92%-0.95% decrease in Bitcoin's positive shocks. A 1% increase in Bitcoin's positive shocks results in approximately a 0.08%-0.10% increase in gold's negative shocks. The estimation results show that increases in gold prices significantly constrain the rise in Bitcoin prices, but the impact of Bitcoin price increases on gold price decreases remains limited. Finally, the findings demonstrate that gold's market-making capacity as a traditional investment vehicle is stronger than that of modern financial investment vehicles.
dc.identifier.doi10.26650/ekoist.2026.44.1926884
dc.identifier.endpage340
dc.identifier.issn2651-396X
dc.identifier.issue44
dc.identifier.startpage327
dc.identifier.urihttp://dx.doi.org/10.26650/ekoist.2026.44.1926884
dc.identifier.urihttps://hdl.handle.net/20.500.12403/8465
dc.identifier.wosWOS:001818840800017
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.institutionauthorYildiz, Umit
dc.language.isoen
dc.publisherIstanbul Univ
dc.relation.ispartofEkoist-Journal of Econometrics and Statistics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20260820
dc.subjectGold
dc.subjectBitcoin
dc.subjectHidden Cointegration
dc.subjectAsymmetric Nexus
dc.titleAsymmetric Nexus Between Gold and Bitcoin: New Evidence from Hidden Cointegration Approach
dc.typeArticle

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