Connectedness of cryptocurrencies and gold returns: Evidence from frequency-dependent quantile regressions

Artikel

This paper explores the symmetric and asymmetric dependency structure of decomposed return series of Gold and eight cryptocurrencies to establish the hedging and diversification potentials of these asset classes. Daily data spanning 30 April 2013 to 18 April 2019 are employed within the Ensemble Empirical Mode Decomposition and Quantile-in-Quantile regression techniques. Our empirical results provide evidence that cryptocurrencies and Gold can both hedge and diversify for each other at different conditional distributions of their returns. We also find that cryptocurrencies are not purely speculative but can be driven by medium- and long-term fundamentals. In addition, both Gold and cryptocurrencies can be hedge and diversifiers for other traditional asset classes such as crude oil, fiat currencies, and other commodities.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-19

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; International Financial Markets ; Financial Institutions and Services: Government Policy and Regulation ; Formal and Informal Sectors; Shadow Economy; Institutional Arrangements
• Thema: cryptocurrencies ; ensemble empirical mode decomposition ; gold ; quantile-on-quantile ; regression

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Owusu Junior, Peterson ; Adam, Anokye M. ; Tweneboah, George
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2020

Weitere Informationen

• DOI: doi:10.1080/23322039.2020.1804037
• Handle: http://hdl.handle.net/10419/269956
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ