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

Niyati Bhanja, Adil Ahmad Shah and Arif Dar

Resources Policy, 2023, vol. 80, issue C

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 VAR-based 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 (search for similar items in EconPapers)
JEL-codes: C32 C5 G1 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005888

DOI: 10.1016/j.resourpol.2022.103145

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