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.
