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

Table 3

Quantile regression results of signal.

Quantiles	Bitcoin	Litecoin	Ethereum	Dogecoin	Ripple	Tether
0.05	0.0440	0.0282	−0.0286	−0.0137	−0.0038	−0.1821
0.10	0.0454	0.0198	−0.0147	−0.0134^∗	−0.0042	−0.1647
0.15	0.0365	0.0171	−0.0066	−0.0113	−0.0047	−0.1551
0.20	0.0416	0.0139	−0.0036	−0.0115	−0.0046	−0.1855
0.25	0.0417	0.0110	−0.0009	−0.0112	−0.0044	−0.1900
0.30	0.0421	0.0120	0.0011	−0.0104	−0.0033	−0.2178
0.35	0.0424	0.0098	0.0016	−0.0085	−0.0036	−0.2181
0.40	0.0396	0.0114	0.0021	−0.0063	−0.0045	−0.2173
0.45	0.0439	0.0110	0.0006	−0.0033	−0.0040	−0.1744
0.50	0.0450	0.0112	0.0008	−0.0022	−0.0040	−0.1543
0.55	0.0526^∗	0.0058	0.0040	0.0019	−0.0031	−0.0661
0.60	0.0548^∗∗	0.0041	0.0061	0.0031	−0.0039	−0.0397
0.65	0.0558^∗	0.0033	0.0072	0.0059	−0.0060	−0.0227
0.70	0.0559^∗	0.0036	0.0069	0.0063	−0.0064	−0.0227
0.75	0.0565^∗	0.0013	0.0089	0.0077	−0.0070	−0.0116
0.80	0.0584	0.0005	0.0107	0.0079	−0.0074	0.0005
0.85	0.0720^∗	−0.0068	0.0139	0.0094	−0.0076	0.0167
0.90	0.0713^∗	−0.0082	0.0168	0.0096	−0.0077	0.0207
0.95	0.0829^∗	−0.0228	0.0246	0.0125	−0.0057	0.0395

NB: ^∗∗∗, ^∗∗, and ^∗ denote significance at 1%, 5%, and 10%, respectively. At the extreme quantile levels (0.05 to 0.3 and 0.7 to 0.95), a negative and significant or uncorrelated relationship in stressed condition exhibits safe haven properties. On the other hand, a significant but negative relationship in a normal market condition has hedging properties. Averagely, any asset with a positive but insignificant relationship is a diversifier against the other (see [31]). The most dominating impact of cryptocurrency on gold is bitcoin, followed by Dogecoin. However, for Bitcoin, gold can only act as a safe haven during stressed market conditions.