Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis
Table 6
Quantile regression results of M3.
Quantiles
Bitcoin
Litecoin
Ethereum
Dogecoin
Ripple
Tether
0.05
0.0764
0.1218
0.0359
0.0330
0.0578
0.0352
0.10
0.0777
0.1203∗
0.0359
0.0328
0.0564
0.0336
0.15
0.0788∗
0.1228∗
0.0359
0.0263
0.0476
0.0333
0.20
0.0792∗∗
0.1131∗
0.0392
0.0197
0.0326
0.0322
0.25
0.0717∗∗
0.0982∗
0.0389
0.0199
0.0265
0.0336
0.30
0.0687∗
0.0898
0.0369
0.0257
0.0249
0.0187
0.35
0.0697∗∗
0.0891
0.0384
0.0230
0.0233
0.0166
0.40
0.0711∗∗
0.0967∗
0.0466
0.0170
0.0045
0.0042
0.45
0.0396
0.1034∗
0.0392
0.0093
0.0075
−0.0052
0.50
0.0595∗
0.0827
0.0196
0.0109
0.0006
−0.0273
0.55
0.0528
0.0714
0.0282
0.0068
−0.0044
−0.0323
0.60
0.0357
0.0804
0.0175
0.0039
0.0004
−0.0393
0.65
0.0097
0.0823
0.0115
0.0006
0.0047
−0.0408
0.70
−0.0084
0.0676
0.0223
−0.0062
−0.0011
−0.0491
0.75
−0.0037
0.0562
0.0112
−0.0117
−0.0068
−0.0651
0.80
−0.0146
0.0640
−0.0006
−0.0120
−0.0094
−0.0684∗∗
0.85
−0.0134
0.0368
−0.0209
0.0032
−0.0190
−0.0677∗∗
0.90
−0.0260
0.0442
−0.0236
−0.0026
−0.0185
−0.0722
0.95
−0.0334
0.0407
−0.0200
−0.0047
−0.0176
−0.0800
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]). Gold serves as a safe haven most cryptocurrencies at the crash market condition in the medium-term (M3) as well as a diversifier at normal market conditions.
