Quantile-Based Frequency Connectedness between Cryptocurrencies and Industrial Metal Markets: Evidence from Copper Returns
Ebo Ebynah · Senyo Agbeblewu ORCID ↗ · Bernard Nyarko · Edward Nii Amar Amarteifio ORCID ↗
International Journal of Business Ecosystem & Strategy · 2026 · Vol. 8 / Issue 4 · 860-878
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Abstract
This paper examined the connectedness between Copper returns and major cryptocurrency returns, with particular attention to their predictive ability and their roles in diversification and risk transmission across varying market conditions and investment horizons. In this study, it is also aimed to evaluate how these relationships evolve across different quantiles and frequency domains, thereby capturing both distributional asymmetries and time-dependent dynamics. We employed a hybrid analytical approach combining Ensemble Empirical Mode Decomposition and Quantile-on-Quantile Regression to decompose the return series and estimate dependence structures across multiple quantiles and time scales. A dataset comprising daily observations of copper and selected cryptocurrencies, Cardano (ADA), Binance Coin (BNB), Bitcoin (BTC), Ethereum (ETH), TRON (TRX), Tether (USDT), Dogecoin (DOGE), and Ripple (XRP), covering the period from 17 September 2014 to 17 April 2026 was analysed. The main findings of the study demonstrate that (i) short-term connectedness between copper and cryptocurrencies is generally weak, indicating limited immediate transmission of shocks; (ii) medium- and long-term results reveal stronger and more structured dependence, with certain cryptocurrencies, particularly Bitcoin and Binance Coin, exhibiting notable predictive influence on copper returns alongside time-varying co-movements; and finally (iii) the relationship is highly state-dependent, with stronger and asymmetric spillovers emerging during extreme market conditions, suggesting that cryptocurrencies primarily serve as diversifiers rather than consistent hedges. These results highlight the dynamic nature of the cryptocurrency–copper nexus and provide important implications for portfolio diversification, risk management, and financial market monitoring in increasingly interconnected global markets.
Keywords: {'name': 'copper; cryptocurrencies; hedge; safe haven; diversifier'}
Authors & affiliations
Ebo Ebynah
University of Cape Coast
Senyo Agbeblewu
University of Cape Coast
Bernard Nyarko
University of Cape Coast
Edward Nii Amar Amarteifio
University of Cape Coast
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