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

Figure 7

Dynamic net spillover to others with different rolling windows. 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 (the sample period for returns is from December 8, 2010, to June 23, 2021), 100 (the sample period for returns is from January 4, 2011, to June 23, 2021), and 120 (the sample period for returns is from February 9, 2011, to June 23, 2021). 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).