Looking for Alternatives in Times of Market Stress: A Tail Dependence between the European Stock Markets and Bitcoin, Gold and Fine Wine Market

Blanka Łęt and Karolina Siemaszkiewicz ()
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Karolina Siemaszkiewicz: Department of Applied Mathematics, Poznan University of Economics and Business, Poland

Czech Journal of Economics and Finance (Finance a uver), 2020, vol. 70, issue 5, 407-430

Abstract: This study investigates relations between returns from the traditional stock markets and alternative investments over different investment horizons. Using a quantile coherency, we verify whether an occurrence of the extreme negative returns calculated over several frequencies in the stock exchange coincides with the occurrence of high positive or negative returns in the Bitcoin, gold and fine wine market. We found that in most cases considered alternative investments may act as a weak hedge in normal market conditions. In times of market stress, for all investment horizons only gold is a safe haven for examined stock markets. Results for Bitcoin and fine wines depend on the investment horizon, but in both cases, we found that there is a contagion effect for long-term investments.

Keywords: gold; Bitcoin; wine; alternative investment; safe haven; hedge; diversifier; quantile coherency; frequency; investment horizon (search for similar items in EconPapers)
JEL-codes: G11 G15 Q02 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:70:y:2020:i:5:p:407-430

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