Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis
Table 2
Correlation matrix.
Gold
Bitcoin
Dogecoin
Ethereum
Litecoin
Tether
XRP
Signal
Gold
1.000
Bitcoin
0.218∗∗∗
1.000
Dogecoin
0.025
0.369∗∗∗
1.000
Ethereum
0.143∗∗
0.722∗∗∗
0.379∗∗∗
1.000
Litecoin
0.192∗∗∗
0.743∗∗∗
0.364∗∗∗
0.738∗∗∗
1.000
Tether
−0.022
−0.321∗∗∗
−0.102∗
−0.307∗∗∗
−0.273∗∗∗
1.000
XRP
0.041
0.431∗∗∗
0.266∗∗∗
0.542∗∗∗
0.535∗∗∗
−0.162∗∗
1.000
M1
Gold
1.000
Bitcoin
−0.491∗∗∗
1.000
Dogecoin
−0.272∗∗∗
0.361∗∗∗
1.000
Ethereum
−0.493∗∗∗
0.796∗∗∗
0.373∗∗∗
1.000
Litecoin
0.312∗∗∗
0.398∗∗∗
0.073
0.314∗∗∗
1.000
Tether
0.150∗∗∗
−0.040
0.021
−0.073
0.059
1.000
XRP
−0.551∗∗∗
0.466∗∗∗
0.281∗∗∗
0.544∗∗∗
0.100∗
−0.029
1.000
M2
Gold
1.000
Bitcoin
−0.013
1.000
Dogecoin
−0.097∗
−0.075
1.000
Ethereum
0.067
0.006
0.032
1.000
Litecoin
−0.020
0.020
0.049
−0.013
1.000
Tether
−0.009
−0.097
−0.043
0.112
0.013
1.000
XRP
−0.042
0.010
−0.021
0.021
−0.076
0.017
1.000
M3
Gold
1.000
Bitcoin
0.015
1.000
Dogecoin
−0.012
−0.026
1.000
Ethereum
0.021
0.148∗∗
0.045
1.000
Litecoin
−0.012
0.161∗∗
0.046
0.144∗∗
1.000
Tether
−0.069
−0.012
0.010
0.074
0.009
1.000
XRP
0.082
0.147∗∗
−0.009
0.121∗∗
0.094
−0.053
1.000
MAgg
Gold
1.000
Bitcoin
0.254∗∗∗
1.000
Dogecoin
0.005
0.313∗∗∗
1.000
Ethereum
0.364∗∗∗
0.786∗∗∗
0.422∗∗∗
1.000
Litecoin
0.266∗∗∗
0.780∗∗∗
0.348∗∗∗
0.780∗∗∗
1.000
Tether
0.191∗∗∗
0.141∗∗
0.064
0.218∗∗∗
0.079
1.000
XRP
0.075
0.379∗∗∗
0.425∗∗∗
0.460∗∗∗
0.489∗∗∗
0.094
1.000
NB: correlation coefficients >0.8, show multicollinearity among independent variables [84].∗∗∗, ∗∗, and ∗ denote significance at 1%, 5%, and 10%, respectively. Gold and cryptocurrency returns show significant relationship among themselves, especially, for the original and decomposed series, except M2 and M3 representing the medium-term. That is, at most times, no significant relationship occurs in the medium-term suggesting high likelihoods for short-lived market fluctuations and real economic growth.
