Quantile dependencies and connectedness between the gold and cryptocurrency markets: Effects of the COVID-19 crisis

Walid Mensi, Rim El Khoury, Syed Riaz Mahmood Ali, Xuan Vinh Vo and Sang Hoon Kang

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: This paper examines the quantile dependence, connectedness, and return spillovers between gold and the price returns of leading cryptocurrencies, using quantile cross-spectral, the return spillovers based the quantile VAR, and quantile connectedness approaches. The results show that the dependencies within cryptocurrencies are highly symmetric and sensitive to different quantile arrangements. Under normal market conditions, we find a high positive dependence within cryptocurrencies and a low positive dependence between cryptocurrencies and gold. The dependence is higher at long term than intermediate- and short- terms before the pandemic during bearish market conditions. In contrast, the degree of dependence decreases at the intermediate- and long-terms during COVID-19 period than before. Moreover, the magnitude of return spillovers is higher at lower quantile (bearish market) than upper quantile (bullish market). Gold serves as a safe haven and diversifier asset for cryptocurrencies during COVID-19 outbreak at both intermediate and long terms.

Keywords: Gold; Cryptocurrency; Return spillovers based the quantile VAR; Quantile coherency approach; COVID-19 (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000557

DOI: 10.1016/j.ribaf.2023.101929

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