Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis
Table 4
Quantile regression results of M1.
Quantiles
Bitcoin
Litecoin
Ethereum
Dogecoin
Ripple
Tether
0.05
0.0655∗∗
0.0564∗∗∗
−0.1290∗∗∗
0.0001
−0.0251∗∗∗
1.1208∗
0.10
−0.0103
0.0543∗∗∗
−0.0473
−0.0003
−0.0306∗∗∗
1.2622∗
0.15
−0.0181
0.0618∗∗∗
−0.0382∗
−0.0006
−0.0299∗∗∗
0.9769
0.20
−0.0484∗∗
0.0677∗∗∗
−0.0005
−0.0012∗
−0.0355∗∗∗
1.6694∗∗
0.25
−0.0519∗∗∗
0.0702∗∗∗
0.0094
−0.0012∗∗
−0.0384∗∗∗
1.8050∗∗∗
0.30
−0.0765∗∗∗
0.0958∗∗∗
0.0282
−0.0007
−0.0364∗∗∗
1.0532
0.35
−0.1148∗∗∗
0.1398∗∗∗
0.0556∗∗
−0.0004
−0.0342∗∗∗
0.7339
0.40
−0.1501∗∗∗
0.1744∗∗∗
0.0873∗∗∗
0.0000
−0.0397∗∗∗
0.7208
0.45
−0.1637∗∗∗
0.1857∗∗∗
0.1031∗∗∗
0.0003
−0.0370∗∗∗
0.6685
0.50
−0.1633∗∗∗
0.1972∗∗∗
0.1022∗∗∗
0.0006
−0.0355∗∗∗
0.5844
0.55
−0.1545∗∗∗
0.2046∗∗∗
0.1031∗∗∗
−0.0001
−0.0389∗∗∗
0.5287
0.60
−0.1517∗∗∗
0.2008∗∗∗
0.1159∗∗∗
−0.0011
−0.0467∗∗∗
0.6091
0.65
−0.1449∗∗∗
0.1956∗∗∗
0.1238∗∗∗
−0.0023∗
−0.0479∗∗∗
0.7334
0.70
−0.1443∗∗∗
0.1977∗∗∗
0.1278∗∗∗
−0.0025∗∗
−0.0507∗∗∗
0.8117
0.75
−0.1463∗∗∗
0.1990∗∗∗
0.1337∗∗∗
−0.0029∗∗
−0.0502∗∗∗
0.7621
0.80
−0.1461∗∗∗
0.1961∗∗∗
0.1424∗∗∗
−0.0036∗∗∗
−0.0543∗∗∗
0.7263
0.85
−0.1302∗∗∗
0.1938∗∗∗
0.1461∗∗∗
−0.0042∗∗∗
−0.0617∗∗∗
0.5045
0.90
−0.1218∗∗∗
0.1977∗∗∗
0.1663∗∗∗
−0.0053∗∗∗
−0.0784∗∗∗
0.2651
0.95
−0.1449∗∗∗
0.1891∗∗∗
0.2622∗∗∗
−0.0067∗∗∗
−0.1314∗∗∗
1.1244
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]). Litecoin and Ripple are the most dominating variables in the short-term. This is followed by Bitcoin, Ethereum, and Dogecoin. However, Bitcoin and Ripple act as a safe haven, diversifier, and hedge depending on the market outcomes. Litecoin becomes a complementary asset for gold at all market conditions which hinders portfolio diversification. Tether has the least impact on gold among all the cryptocurrencies in the short-term.