Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis

Maria de la O. González, Francisco Jareño () and Frank S. Skinner

International Review of Financial Analysis, 2021, vol. 76, issue C

Abstract: This article explores asymmetric interdependencies between the twelve largest cryptocurrency and Gold returns, over the period January 2015 – June 2020 within a NARDL (nonlinear autoregressive distributed lag) framework. We focus our analysis on the epicentre of the first wave of the COVID-19 pandemic from March 2020 to June 2020. During this crisis, cryptocurrencies are more correlated and more of them have returns that are cointegrated with Gold returns. Moreover, cryptocurrencies develop a long-term as well as a short-term asymmetric response to Gold returns during the COVID-19 period where most cryptocurrency returns respond more to negative changes and exhibit more persistence with Gold returns. Overall, our most important result confirms that the connectedness between Gold price returns and cryptocurrency returns increase in economic turmoil, such as during the COVID-19 crisis.

Keywords: Cryptocurrencies; Gold; NARDL; Connectedness; COVID-19 crisis (search for similar items in EconPapers)
JEL-codes: G11 G15 O51 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001149

DOI: 10.1016/j.irfa.2021.101773

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