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G7 investors prefer cryptocurrencies, gold or digital gold to hedge their risk? Insights from quantile time frequency connectedness

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  • Lamine, Ahlem

Abstract

This study provides an in-depth analysis of the dynamic connectedness between G7 stock market indices, traditional cryptocurrencies (Bitcoin, Ethereum), gold, digital gold (PAXG, XAUT), and companies specializing in artificial intelligence (AI). Covering the period from 2020 to 2024, the analysis focuses on four distinct periods: the COVID-19 pandemic, the Russia-Ukraine conflict, the banking crisis triggered by the collapse of Silicon Valley Bank in March 2023 and the speculative rise in the gold markets in 2024. The methodology employs a Quantile Vector Autoregressive (QVAR) connectivity approach, starting with the median quantile and systematically extending to various quantiles to capture the entire distribution of connectedness under different market conditions.

Suggested Citation

  • Lamine, Ahlem, 2025. "G7 investors prefer cryptocurrencies, gold or digital gold to hedge their risk? Insights from quantile time frequency connectedness," International Review of Economics & Finance, Elsevier, vol. 104(C).
    • Handle: RePEc:eee:reveco:v:104:y:2025:i:c:s1059056025008093
    DOI: 10.1016/j.iref.2025.104646
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