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Cogent Economics & Finance Volume 8, 2020 - Issue 1
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FINANCIAL ECONOMICS

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

Peterson Owusu Junior1 Wits Business School, University of the Witwatersrand, Johannesburg, South AfricaORCID Iconhttps://orcid.org/0000-0001-6253-5770View further author information
ORCID Icon,
Anokye M. Adam2 Department of Finance, School of Business, University of Cape Coast, Cape Coast, GhanaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-3830-1186View further author information
ORCID Icon &
George Tweneboah1 Wits Business School, University of the Witwatersrand, Johannesburg, South AfricaORCID Iconhttps://orcid.org/0000-0001-7992-7340View further author information
ORCID Icon |
David McMillan3 University of Stirling, Stirling, UKView further author information
(Reviewing editor)
Article: 1804037 | Received 04 Mar 2020, Accepted 04 Jul 2020, Published online: 17 Aug 2020

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Read on this site (4)

John Kingsley Woode, Peterson Owusu Junior, Anokye M. Adam, Emmanuel Assifuah-Nunoo & Audrey Foriwaa Adjei. (2023) Nexus between cryptocurrencies and global uncertainty: A quantile regression approach. Cogent Economics & Finance 11:2.
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Bernice Nkrumah-Boadu, Peterson Owusu Junior, AnokyeM Adam & Emmanuel Asafo-Adjei. (2022) Safe haven, hedge and diversification for African stocks: cryptocurrencies versus gold in time-frequency perspective. Cogent Economics & Finance 10:1.
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Samuel Kwaku Agyei, Anokye Mohammed Adam, Ahmed Bossman, Oliver Asiamah, Peterson Owusu Junior, Roberta Asafo-Adjei & Emmanuel Asafo-Adjei. (2022) Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets. Cogent Economics & Finance 10:1.
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Muhammad Abubakr Naeem, Saba Qureshi, Mobeen Ur Rehman & Faruk Balli. (2022) COVID-19 and cryptocurrency market: Evidence from quantile connectedness. Applied Economics 54:3, pages 280-306.
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Articles from other publishers (27)

Zynobia Barson & Peterson Owusu Junior. (2023) Connectedness in cross-assets and digital assets attention indices. Heliyon 9:10, pages e20668.
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Peterson Owusu Junior & Ngo Thai Hung. (2023) Asymmetric information flow to G7 and Nordic equities markets during COVID-19 pandemic. The Journal of Risk Finance 24:4, pages 393-423.
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Mohammed Armah, Ahmed Bossman & Godfred Amewu. (2023) Information flow between global financial market stress and African equity markets: An EEMD-based transfer entropy analysis. Heliyon 9:3, pages e13899.
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Ahmed Bossman, Zaghum Umar & Tamara Teplova. (2022) Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis. The Journal of Economic Asymmetries 26, pages e00257.
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Barbara Będowska-Sójka & Agata Kliber. (2022) Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective. Energy Economics 115, pages 106360.
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Syed Ali Raza, Maiyra Ahmed & Chaker Aloui. (2022) On the asymmetrical connectedness between cryptocurrencies and foreign exchange markets: Evidence from the nonparametric quantile on quantile approach. Research in International Business and Finance 61, pages 101627.
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Ahmed Bossman, Zaghum Umar, Samuel Kwaku Agyei & Peterson Owusu Junior. (2022) A new ICEEMDAN-based transfer entropy quantifying information flow between real estate and policy uncertainty. Research in Economics 76:3, pages 189-205.
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Emmanuel Asafo-Adjei, Anokye Mohammed Adam, Peterson Owusu Junior, Patrick Kwashie Akorsu & Clement Lamboi Arthur. (2022) A CEEMDAN-Based Entropy Approach Measuring Multiscale Information Flow between Macroeconomic Conditions and Stock Returns of BRICS. Complexity 2022, pages 1-24.
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Yunus BAYDAŞ & Ethem KILIÇ. (2022) Bitcoin ve Ons Arasındaki Çok Değişkenli Stokastik Volatilite AktarımıMultivariate Stochacitic Volatility Transfer between Bitcoin and Ons. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 14:26, pages 149-157.
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Emmanuel Asafo-Adjei, Siaw Frimpong, Peterson Owusu Junior, Anokye Mohammed Adam, Ebenezer Boateng & Robert Ofori Abosompim. (2022) Multi-Frequency Information Flows between Global Commodities and Uncertainties: Evidence from COVID-19 Pandemic. Complexity 2022, pages 1-32.
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Emmanuel Asafo-Adjei, Anokye M. Adam, Anthony Adu-Asare Idun & Peace Y. Ametepi. (2022) Dynamic Interdependence of Systematic Risks in Emerging Markets Economies: A Recursive-Based Frequency-Domain Approach. Discrete Dynamics in Nature and Society 2022, pages 1-19.
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Zynobia Barson, Peterson Owusu Junior, Anokye M. Adam & Emmanuel Asafo-Adjei. (2022) Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis. Complexity 2022, pages 1-17.
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Ahmed Bossman, Peterson Owusu Junior & Aviral Kumar Tiwari. (2022) Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era. Heliyon 8:4, pages e09215.
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Onur POLAT & Gözde EŞ POLAT. (2022) Kriptopara Bağlantılılığı ve COVID-19: Diebold-Yılmaz ve Frekans Bağlantılılığı YöntemleriCryptocurrency Interdependencies and COVID-19: The Diebold-Yilmaz and the Frequency Connectedness Approaches. Sosyoekonomi 30:51, pages 283-300.
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Ahmed Bossman, Samuel Kwaku Agyei, Peterson Owusu Junior, Ellen Animah Agyei, Patrick Kwashie Akorsu, Edward Marfo-Yiadom & George Amfo-Antiri. (2022) Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy. Complexity 2022, pages 1-25.
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Emmanuel Assifuah-Nunoo, Peterson Owusu Junior, Anokye Mohammed Adam & Ahmed Bossman. (2022) Assessing the safe haven properties of oil in African stock markets amid the COVID-19 pandemic: a quantile regression analysis. Quantitative Finance and Economics 6:2, pages 244-269.
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Francisco Jareño, María De La O González & Pascual Belmonte. (2022) Asymmetric interdependencies between cryptocurrency and commodity markets: the COVID-19 pandemic impact. Quantitative Finance and Economics 6:1, pages 83-112.
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Filiz YILDIZ CONTUK. (2021) Covid -19 Sürecinde Altın ve Petrol Fiyatlarının Bitcoin Üzerindeki Asimetrik EtkisiAsymmetric Effects of Gold and Oil Prices on Bitcoin in the Covid -19 Process. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 23:3, pages 911-926.
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Ahmed Bossman. (2021) Information Flow from COVID-19 Pandemic to Islamic and Conventional Equities: An ICEEMDAN-Induced Transfer Entropy Analysis. Complexity 2021, pages 1-20.
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Ebenezer Boateng, Anokye M. Adam & Peterson Owusu Junior. (2021) Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic. Resources Policy 74, pages 102389.
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Kola Ijasan, Peterson Owusu Junior, George Tweneboah & Anokye M. Adam. (2021) How does South Africa's real estate investment trusts integrate with major global REITs markets? A time-frequency approach. Scientific African 14, pages e00993.
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Emmanuel Asafo-Adjei, Peterson Owusu Junior & Anokye M. Adam. (2021) Information Flow between Global Equities and Cryptocurrencies: A VMD-Based Entropy Evaluating Shocks from COVID-19 Pandemic. Complexity 2021, pages 1-25.
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Onur Polat & Eylül Kabakçı Günay. (2021) Cryptocurrency connectedness nexus the COVID-19 pandemic: evidence from time-frequency domains. Studies in Economics and Finance 38:5, pages 946-963.
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Emmanuel Antwi, Emmanuel N. Gyamfi, Kwabena Kyei, Ryan Gill & Anokye M. Adam. (2021) Determinants of Commodity Futures Prices: Decomposition Approach. Mathematical Problems in Engineering 2021, pages 1-24.
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Peterson Owusu Junior, Anokye M. Adam, Emmanuel Asafo-Adjei, Ebenezer Boateng, Zulaiha Hamidu & Eric Awotwe. (2021) Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies. Heliyon 7:10, pages e08211.
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Emmanuel. N. Gyamfi, Frederick A. A. Sarpong & Anokye M. Adam. (2021) Drivers of Stock Prices in Ghana: An Empirical Mode Decomposition Approach. Mathematical Problems in Engineering 2021, pages 1-7.
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Peterson Owusu Junior, Siaw Frimpong, Anokye M. Adam, Samuel K. Agyei, Emmanuel N. Gyamfi, Daniel Agyapong & George Tweneboah. (2021) COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach. Mathematical Problems in Engineering 2021, pages 1-19.
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