Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/269956 
Year of Publication: 
2020
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Article No.:] 1804037 [Year:] 2020 [Pages:] 1-19
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
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.
Subjects: 
cryptocurrencies
ensemble empirical mode decomposition
gold
quantile-on-quantile
regression
JEL: 
G11
G15
G28
O17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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