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

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  • González, Maria de la O.
  • Jareño, Francisco
  • Skinner, Frank S.

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.

Suggested Citation

  • González, Maria de la O. & Jareño, Francisco & Skinner, Frank S., 2021. "Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001149
    DOI: 10.1016/j.irfa.2021.101773
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    More about this item

    Keywords

    Cryptocurrencies; Gold; NARDL; Connectedness; COVID-19 crisis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada

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