Aggregate, asymmetric and frequency-based spillover among equity, precious metals, and cryptocurrency

【Author】 Bhanja, Niyati; Shah, Adil Ahmad; Dar, Arif Billah

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】This study evaluates the portfolio diversification potential of different classes of assets-equity, cryptocurrency and precious metals-using total, asymmetric and frequency-based spillover transmission framework. The VARbased generalized variance decomposition method is used to analyse the daily prices of S&P 500, bitcoin, gold, silver and platinum between April 2011 through January 2021. The results of aggregate spillover support bitcoin as a potential diversifier due to its isolation from other sets of assets. The decomposition of overall spillover into downside and upside spillover reveals a higher downside connectedness than the upside, suggesting an asymmetric interdependence amongst these markets. Moreover, the frequency based aggregate spillovers suggest the connectedness is driven mostly by the shorter time-horizons. The study provides important policy implications for market participants with distinct investment objectives.

【Keywords】Precious metals; Equity; COVID-19; Spillover asymmetry; Bitcoin

【发表时间】2023 JAN

【收录时间】2023-03-01

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析