Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?

【Author】 Kyriazis, Nikolaos A.; Papadamou, Stephanos; Tzeremes, Panayiotis

【Source】ECONOMIC MODELLING

【影响因子】3.875

【Abstract】This study investigates whether benchmark stock indices, precious metals or cryptocurrencies constitute more reliable hedging mechanisms in normal periods in comparison with crises. Using daily data about the Dow Jones sectors, gold, silver, Bitcoin and Ethereum and by adopting the innovative Time-Varying Parameter Vector Autoregressive (TVP-VAR) specification we investigate dynamic connectedness and how this is affected by the crisis. Findings reveal higher systemic connectedness during the early Covid-19 period and that sectoral indices are transmitters while metals and cryptocurrencies are receivers of spillover impacts. Gold and silver serve as better hedges in the early and intense crisis while 'blue-chip' stocks efficiently hedge during more mature phases. From a financial perspective, this result suggests that long-standing stock markets possess similar abilities with established safe havens and serve as hedging tools during mature stages of crises while precious metals are more suitable for fighting unanticipated shocks in f inancial markets.

【Keywords】Dow jones sectors; Cryptocurrencies; Precious metals; Covid-19; Dynamic connectedness

【发表时间】2023 NOV

【收录时间】2023-10-25

【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