Time and frequency domain connectedness and spillover among categorical and regional financial stress, gold and bitcoin market

Mohammad Enamul Hoque, Low Soo-Wah, Aviral Tiwari and Tahmina Akhter

Resources Policy, 2023, vol. 85, issue PA

Abstract: Fragility of the financial system has been a matter of global concern. This study examines connectedness and spillovers among financial stress index (FSI) categories, regional FSI, gold, and Bitcoin. We employed time-varying and frequency domain approach of Chatziantoniou et al. (2021) using weekly data. We confirmed the interdependencies and connectedness of gold and Bitcoin with global categorical and regional financial stress. We find that credit FSI category is the largest transmitters in every model, implying that credit risk is an important driver of financial stress. United States is the largest stress contributor within the regional category. Additionally, connectedness among FSI categories, regional FSI, gold and Bitcoin has intensified during COVID-19 pandemic. In the short run, while gold and Bitcoin are net shocks receivers of categorical and regional financial stress, they are net shocks transmitters in the long run. Hence, gold and Bitcoin lost their safe-haven properties in the short-run but retained their values in the long-run. The findings expand understanding on the role of gold and Bitcoin for investors seeking protection from global financial stress.

Keywords: Financial stress index; Gold; Bitcoin; Spillover; COVID-19 (search for similar items in EconPapers)
JEL-codes: C58 D81 F21 G11 G14 (search for similar items in EconPapers)
Date: 2023
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:jrpoli:v:85:y:2023:i:pa:s030142072300497x

DOI: 10.1016/j.resourpol.2023.103786

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