Asymmetric Nexus Between Gold and Bitcoin: New Evidence from Hidden Cointegration Approach

The main objective of this study is to investigate the symmetric and asymmetric linkages between gold, a traditional investment instrument, and Bitcoin, often referred to as the digital gold of cryptocurrencies, and to determine their direction and magnitude. Forthis purpose, the study examines cointegration relationships amongthe variables using weekly data from January 2, 2022, to April 5, 2026. According to the Engle & Granger (1987) cointegration test, there is no long-term relationship between the variables. However, the Granger &Yoon (2002) hidden cointegration test determined hidden cointegration relationships from the gold's positive components to the Bitcoin's positive components and from the Bitcoin's positive components to the gold's negative components. Subsequently, longterm coefficients are estimated using FMOLS, DOLS, and CCR estimators. The results show that a 1% increase in gold's positive shocks leads to approximately a 0.92%-0.95% decrease in Bitcoin's positive shocks. A 1% increase in Bitcoin's positive shocks results in approximately a 0.08%-0.10% increase in gold's negative shocks. The estimation results show that increases in gold prices significantly constrain the rise in Bitcoin prices, but the impact of Bitcoin price increases on gold price decreases remains limited. Finally, the findings demonstrate that gold's market-making capacity as a traditional investment vehicle is stronger than that of modern financial investment vehicles.