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

Figure 3

Dynamic total directional spillover to others for TVP-VAR. The different color areas define the accumulation of total directional spillover to other markets. The total directional spillover to others of returns plotted here is computed by equation (10), which is defined as the difference in total directional connectedness to others. 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.