Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices

• We examine the impact of uncertainties on dynamics cryptocurrency returns and volatilities. Apart from traditional uncertainty measures, we also considered UCRY_Price UCRY_Policy. Results indicate that policy is main transmitter return spillovers. Gold a net receiver both volatility These results are valid under bearish, bullish, normal market conditions. This paper examines dynamic connectedness return- spillovers among index (CRIX), Gold, measures. consider two novel measures: Cryptocurrency Policy Uncertainty Price indices. observe to other variables. In addition, Our findings contribute literature considering spillover effect between cryptocurrencies assets their determinants.