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

Table 5

Quantile regression results of M2.

Quantiles	Bitcoin	Litecoin	Ethereum	Dogecoin	Ripple	Tether
0.05	−0.0005	−0.0898	0.0928	−0.0758^∗∗	−0.0278	0.0652^∗∗
0.10	−0.0058	−0.0466	0.0709	−0.0705^∗	−0.0203	0.0494^∗∗
0.15	−0.0077	−0.0317	0.0413	−0.0696^∗	−0.0205	0.0504^∗∗
0.20	−0.0051	−0.0163	0.0377	−0.0666^∗	−0.0160	0.0400^∗∗
0.25	−0.0027	−0.0009	0.0348	−0.0622	−0.0108	0.0254
0.30	0.0000	0.0088	0.0351	−0.0599^∗	−0.0215	0.0164
0.35	−0.0011	−0.0011	0.0075	−0.0580	−0.0280	0.0151
0.40	−0.0108	0.0265	0.0059	−0.0573	−0.0275	0.0130
0.45	−0.0109^∗	0.0487	0.0046	−0.0571	−0.0274	0.0108
0.50	−0.0107	0.0488	−0.0033	−0.0565	−0.0268	0.0100
0.55	−0.0110^∗	0.0486	−0.0015	−0.0556	−0.0269	0.0072
0.60	−0.0112^∗	0.0483	−0.0010	−0.0543	−0.0269^∗	0.0032
0.65	−0.0112^∗	0.0482	−0.0014	−0.0540	−0.0269	0.0023
0.70	−0.0112	0.0482	−0.0016	−0.0539	−0.0269	0.0021
0.75	−0.0122^∗	0.0486	−0.0013	−0.0627	−0.0269	0.0005
0.80	−0.0114	0.0483	−0.0051	−0.0552	−0.0266	−0.0028
0.85	−0.0120	0.0488	−0.0041	−0.0631	−0.0267	−0.0039
0.90	−0.0119	0.0481	−0.0073	−0.0564	−0.0264	−0.0072
0.95	−0.0130	0.0478	−0.0081	−0.0602	−0.0263	−0.0093

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]). Tether, Dogecoin and Bitcoin have the most significant impact on gold. Litecoin and Ethereum have the least impact on gold.