On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis
Table 2
Full-sample return spillover measures in the static time domain.
Bitcoin
Gold
Commodities
World
Developed
Emerging
From
Entire phase
Bitcoin
98.14
0.30
0.16
0.63
0.71
0.06
0.31
Gold
0.23
92.60
3.73
1.04
0.91
1.49
1.23
Commodities
0.11
2.48
61.60
13.21
12.70
9.90
6.40
World
0.23
0.41
7.78
35.74
35.45
20.39
10.71
Developed
0.27
0.36
7.70
36.74
37.04
17.89
10.49
Emerging
0.06
1.08
7.86
26.55
23.17
41.27
9.79
To
0.15
0.77
4.54
13.03
12.16
8.29
38.94
Net
−0.16
−0.47
−1.86
2.32
1.66
−1.50
Phase I: July 20, 2010–March 13, 2012
Bitcoin
96.98
0.78
0.48
0.67
0.86
0.22
0.50
Gold
0.27
76.89
12.6
2.92
2.52
4.79
3.85
Commodities
0.07
7.12
43.72
17.34
16.66
15.09
9.38
World
0.18
1.07
12.81
32.16
31.96
21.82
11.31
Developed
0.25
0.94
12.68
32.96
33.19
19.97
11.13
Emerging
0.05
2.26
12.9
26.51
24.16
34.13
10.98
To
0.14
2.03
8.58
13.40
12.69
10.32
47.15
Net
−0.37
−1.83
−0.80
2.10
1.56
−0.66
Phase II: March 14, 2012–January 13, 2020
Bitcoin
99.62
0.26
0.01
0.03
0.04
0.03
0.06
Gold
0.09
97.04
2.39
0.06
0.07
0.35
0.49
Commodities
0.03
1.73
71.25
10.22
9.81
6.96
4.79
World
0.09
0.03
5.49
37.88
37.55
18.95
10.35
Developed
0.1
0.01
5.45
39.04
39.49
15.9
10.08
Emerging
0.06
0.49
5.39
27.07
22.97
44.03
9.33
To
0.06
0.42
3.12
12.74
11.74
7.03
35.11
Net
−0.00
−0.07
−1.67
2.39
1.65
−2.30
Phase III: January 14, 2020–June 23, 2021
Bitcoin
64.36
4.92
3.22
10.92
11.04
5.53
5.94
Gold
5.93
77.88
2.09
5.35
5.29
3.46
3.69
Commodities
3.02
1.47
54.66
14.93
14.5
11.42
7.56
World
6.09
2.16
8.44
32.03
31.83
19.46
11.33
Developed
6.51
2.15
8.31
32.69
32.87
17.46
11.19
Emerging
3.45
2.59
9.35
24.49
21.71
38.41
10.27
To
4.16
2.22
5.24
14.73
14.06
9.56
49.96
Net
−1.77
−1.47
−2.32
3.40
2.87
−0.71
Note. (1) The bold value in the bottom right corner is the total connectedness computed in the system. (2) Values in the last row at each phase denote the net spillover of six markets that are mainly compared with Section 4.1. (3) The values of “to” or “from” represent the spillover that an individual market contributes or receives totally in the whole sample system. (4) 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). (5) The entire phase for returns is from July 20, 2020, to June 23, 2021.
