 Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?Nikolaos A. Kyriazis, Stephanos Papadamou and Panayiotis Tzeremes Economic Modelling, 2023, vol. 128, issue C 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 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003140 DOI: 10.1016/j.econmod.2023.106502 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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