Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty

•We explore cryptocurrency policy uncertainty's (UCRY Policy) effect on different assets.•Quantile-on-Quantile regression model is used to capture bullish, normal, and bearish events.•Bitcoin, the US dollar, and WTI do not hedge UCRY policy.•Whereas Gold, DJ Islamic index, and Sukuk act as a hedge or safe-haven asset. We analyze the cryptocurrency policy uncertainty (UCRY Policy) effect on gold, Bitcoin, the US dollar, DJ Islamic Index, Sukuk, and WTI returns. Using Ordinary Least Square, Quantile regression, and Quantile-on-Quantile regression approaches, we find that Bitcoin, the US dollar, and WTI returns are negatively impacted by UCRY Policy during the bearish and bullish states, suggesting their failure to act as a hedge or safe-haven asset. Conversely, UCRY Policy positively impacts gold, DJ Islamic Index, and Sukuk returns, highlighting their potential to function as a hedge or safe-haven asset. Gold serves the same role during highly uncertain times.