Connectedness between Gold and Cryptocurrencies in COVID‐19 Pandemic: A Frequency‐Dependent Asymmetric and Causality Analysis

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Abstract
We employ a frequency‐dependent asymmetric and causality analysis to investigate the connectedness between gold and cryptocurrencies during the COVID‐19 pandemic. Hence, the variational mode decomposition‐based quantile regression is utilised. Findings from the study divulge that the variational mode functions at the lower quantiles are mostly significant and negative indicating that gold acts as a safe haven, a diversifier at most market conditions with insignificant coefficients, and a hedge at normal market conditions for most cryptocurrencies at various investment horizons. Particularly, hedging benefits mostly occur in the short‐ and medium‐term for Bitcoin and Ripple, as well as Bitcoin and Dogecoin in the long‐term with gold. This implies that there is high persistence in the hedging properties of gold with Bitcoin, followed by Ripple. We notice more significant relationship between gold and some cryptocurrencies in the long‐term of the COVID‐19 pandemic relative to the medium‐term emphasising the delayed responses of prices to information. Investors are recommended to be observant and mindful of investing in these markets due to the different dynamics.

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