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.