Abstract
This study discovers a new dimension by analyzing the time-varying correlations between the top four precious metals and cryptocurrency uncertainty indices (UCRY Policy and Price). Using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model, our findings show that gold, among the precious metals, exhibits a consistent positive correlation with both UCRY Policy and Price, suggesting that gold has a stable and reliable safe-haven property against cryptocurrency uncertainty. Thus, our research offers investors to diversify their portfolios by investing in gold when uncertainty stems from cryptocurrency markets.
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