Research Article
Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis
Table 8
Summary of frequency-dependent quantile regression result.
| | | Signal | Short-term (M1) | Medium-term (M2 & M3) | Long-term (MAgg) |
| | Hedge | Bitcoin (Q = 0.55–0.70) | Bitcoin (Q = 0.40–0.70) | Bitcoin (0.40–0.70) | Bitcoin (Q = 0.40) | | Dogecoin (Q = 0.10) | Litecoin (Q = 0.40–0.70) | Litecoin (Q = 0.40–0.45) | Litecoin (Q = 0.40) | | | Ethereum (Q = 0.40–0.70) | Ripple (Q = 0.60) | Ethereum (Q = 0.40–0.70) | | | Dogecoin (Q = 0.65–0.70) | | Dogecoin (Q = 0.40–0.50) | | | Ripple (Q = 0.40–0.70) | | |
| | Safe haven | Bitcoin (Q = 0.75, 0.85–0.95) | Bitcoin (Q = 0.05, 0.20–0.35 & 0.75–0.95) | Bitcoin (Q = 0.15–0.35 & 0.75) | Bitcoin (Q = 0.05–0.35 & 0.85) | | | Litecoin (Q = 0.05–0.35 & 0.75–0.95) | Litecoin (Q = 0.10–0.25) | Litecoin (Q = 0.05–0.35 & 0.80, 0.95) | | | Ethereum (Q = 0.05, 0.15 & 0.75–0.95) | Dogecoin (Q = 0.05–0.20 & 0.30) | Ethereum (Q = 0.75–0.95) | | | Dogecoin (Q = 0.20, 0.25 & 0.75–0.95) | Litecoin (Q = 0.05–0.35 & 0.75–0.95) | Dogecoin (Q = 0.30) | | | Ripple (Q = 0.05–0.35 & 0.75–0.95) | Tether (Q = 0.05–0.20 & 0.80–0.85) | | | | Tether (Q = 0.05, 0.10, 0.20 & 0.25) | | |
| | Diversification (almost all quantiles) | Bitcoin | Bitcoin | Bitcoin | Bitcoin | | Ethereum | Ethereum | Ethereum | Ethereum | | Dogecoin | Dogecoin | Dogecoin | Dogecoin | | Litecoin | Litecoin | Litecoin | Litecoin | | Ripple | Ripple | Ripple | Ripple | | Tether | Tether | Tether | Tether |
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NB: Q denotes quantiles.
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