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

Table 7

Quantile regression results of MAgg.

Quantiles	Bitcoin	Litecoin	Ethereum	Dogecoin	Ripple	Tether
0.05	−0.1044^∗∗∗	0.0937^∗∗∗	−0.0084	−0.0129	−0.0071	0.8416
0.10	−0.1038^∗∗∗	0.0972^∗∗∗	−0.0097	−0.0070	−0.0104	0.8993
0.15	−0.0997^∗∗∗	0.0944^∗∗∗	−0.0036	−0.0097	−0.0074	0.9182
0.20	−0.0936^∗∗	0.0918^∗∗∗	−0.0010	−0.0064	−0.0089	0.9542
0.25	−0.0938^∗∗∗	0.0896^∗∗∗	0.0089	−0.0073	−0.0092	0.9994
0.30	−0.0861^∗∗	0.0864^∗∗	0.0121	−0.0090^∗	−0.0060	1.0818
0.35	−0.0722^∗∗	0.0769^∗∗	0.0191	−0.0075	−0.0054	0.9141
0.40	−0.0564^∗	0.0559^∗	0.0292	−0.0088^∗	−0.0054	0.8026
0.45	−0.0454	0.0368	0.0407^∗∗	−0.0106^∗∗	−0.0026	0.7820
0.50	−0.0334	0.0278	0.0445^∗∗	−0.0097^∗	−0.0016	0.8083
0.55	−0.0296	0.0218	0.0483^∗∗	−0.0099	−0.0014	0.8057
0.60	−0.0129	0.0133	0.0491^∗∗	−0.0088	0.0000	0.8660
0.65	0.0095	−0.0046	0.0530^∗	−0.0077	0.0008	0.8081
0.70	0.0187	−0.0171	0.0777^∗∗	0.0074	−0.0026	0.6074
0.75	0.0345	−0.0425	0.1075^∗∗∗	0.0070	−0.0002	0.3758
0.80	0.0652	−0.0811^∗∗	0.1300^∗∗∗	0.0101	−0.0016	0.2229
0.85	0.0746^∗	−0.1023^∗∗	0.1405^∗∗∗	0.0120	−0.0015	0.1784
0.90	0.0699	−0.1045^∗∗∗	0.1539^∗∗∗	0.0125^∗	−0.0041	0.0930
0.95	0.0810	−0.1186^∗∗∗	0.1592^∗∗∗	0.0129^∗	−0.0017	0.0421

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 conditions 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 dominates at the extremes, and it is significant as compared to Bitcoin, Ethereum, and Dogecoin. On the other hand, Ethereum has less likelihood of portfolio diversification, except for stressed market outcomes. That is, Ethereum most often becomes a complementary asset with gold at most quantiles. This is followed by Litecoin at market crash.