Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis

Table 10

Diks and Panchenko nonparametric causality between gold and six cryptocurrencies.

GC BTC	GC DOGE	GC ETH	GC LTC	GC TETH	GC XRP
Signal
1.8400^∗∗	0.8430	1.3420^∗	1.0810	1.3800^∗∗	0.4100
M1
2.1360^∗∗	2.1800^∗∗	3.7490^∗∗∗	2.9990^∗∗∗	2.6450^∗∗∗	1.2140
M2
−3.1390	−0.3370	0.0250	−0.9530	−0.2440	−0.6100
M3
0.8290	−1.3620	−0.2270	2.0390	−0.0730	1.2860^∗
MAgg
1.2080	0.3200	1.6020	2.0570	1.6580^∗∗	0.7630

Note. The arrow “” denotes the causality null hypothesis that cryptocurrency does not cause gold; embedding dimension = 2, and bandwidth = 0.5000 [44]. ^∗∗∗, ^∗∗, and ^∗ indicate statistical significance levels of 1%, 5%, and 10%, respectively. The most dominant decomposed frequency is M1 (short-term). Bitcoin, Litecoin, Dogecoin, Tether, and Ethereum cause gold in the short-term. We notice no causality between gold and the cryptocurrencies in the medium-term.