TY - JOUR
T1 - Quantile dependencies and connectedness between the gold and cryptocurrency markets
T2 - Effects of the COVID-19 crisis
AU - Mensi, Walid
AU - El Khoury, Rim
AU - Ali, Syed Riaz Mahmood
AU - Vo, Xuan Vinh
AU - Kang, Sang Hoon
N1 - Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/4
Y1 - 2023/4
N2 - 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.
AB - 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.
KW - COVID-19
KW - Cryptocurrency
KW - Gold
KW - Quantile coherency approach
KW - Return spillovers based the quantile VAR
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U2 - 10.1016/j.ribaf.2023.101929
DO - 10.1016/j.ribaf.2023.101929
M3 - Article
AN - SCOPUS:85151296269
SN - 0275-5319
VL - 65
JO - Research in International Business and Finance
JF - Research in International Business and Finance
M1 - 101929
ER -