On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

Figure 1

Dynamic return total spillover for TVP-VAR. The orange areas of accumulation define the dynamic return total spillover. The return total spillover plotted here is computed by equation (9). All abbreviations are as follows: bitcoin, gold, and commodities indices (commodities); the world stock index (world); the developed stock index (developed); and the emerging stock index (emerging). The sample period for returns is from July 20, 2020, to June 23, 2021.