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

Figure 5

Dynamic return total spillover with different rolling windows and TVP-VAR. The blue line is the dynamic return total spillover for TVP-VAR. The red dotted line defines the time points that distinguish three sample phases. The three window sizes plot the dynamic return total spillover measures on the 80, 100, and 120. 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 February 2, 2011, to June 23, 2021.