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On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis
Discrete Dynamics in Nature and Society ; 2022, 2022.
Article in English | ProQuest Central | ID: covidwho-1627119
ABSTRACT
Stock market is susceptible to various external shocks for its tight dependence on economic fundamentals, financial speculation, and fragile emotions in massive traders, making it a very risky market for investors. In this paper, we aim to identify whether commonly recognized safe-haven assets, that is, bitcoin, gold, and commodities, can provide investors with effective hedging utility in international stock markets, especially during periods of extreme market turbulence. By using the spillover index method based on the TVP-VAR model, we find that firstly, bitcoin, gold, and commodities can only offer weak hedging effects on stock markets. Furthermore, their abilities to act as a safe haven are ranked as commodities > gold > bitcoin. Secondly, in general, we have observed the increasing hedging ability of these safe-haven assets in times of extreme market turmoil. Thirdly, among international stock and safe-haven asset markets, the world and the developed stock markets act as the net spillover transmitters, while bitcoin, gold, and commodities are the net recipients. Lastly, the total spillover effects are time-varying and increase significantly after the outbreak of extreme events.
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Full text: Available Collection: Databases of international organizations Database: ProQuest Central Type of study: Evidence synthesis Language: English Journal: Discrete Dynamics in Nature and Society Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ProQuest Central Type of study: Evidence synthesis Language: English Journal: Discrete Dynamics in Nature and Society Year: 2022 Document Type: Article