Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs

Spyros Papathanasiou, Drosos Koutsokostas and Georgios Pergeris

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: This study investigates the volatility spillovers between Special Purpose Acquisition Companies (SPACs) and a set of alternative instruments comprising traditional IPOs, merger arbitrage, hedge replication funds and equities, utilizing a time-varying spillover approach. Our empirical findings, based on high frequency dataset comprising 2,136 observations for the period 10/01/2020–06/08/2021, show that the level of volatility spillovers is moderate and consistent throughout the sample period. The SPAC market displays a relative neutral reaction within the channel of the diffused shocks, suggesting possible portfolio diversification gains for different types of investors.

Keywords: Alternative investments; SPACS; IPOs; Merger arbitrage; Connectedness; COVID-19 (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 G34 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005419

DOI: 10.1016/j.frl.2021.102602

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