The dynamic relationship between energy commodities and bitcoin prices: evidence from the quantile ARDL approach

Abstract

This study focuses to analyse the association between bitcoin and three prominent energy commodities (Oil, Gasoline and Natural gas) utilising quantile auto-regressive distributed lags (QARDL). The results indicated that energy prices hold a positive influence on the bitcoin market in long-run on extreme market conditions (bearish and bullish market state). In short-terms, the results failed to find the significant role of natural gas and gasoline prices in driving bitcoin returns. The findings of causality-in-quantile reported the presence of the uni-directional causal relationship from energy commodities to bitcoin. Interestingly, the findings reported that in bullish market, the causal link between crude oil and bitcoin exhibits feedback effect indicating that when the market is generating higher returns, both the critical variables drive the returns of each other. The outcomes have implication for investors regarding the relevance of energy commodities with bitcoin and their contribution in its valuation to support efficient risk management.