On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis
Table 3
Dynamic net spillover with different rolling windows.
Window = 80
Window = 100
Window = 120
Phase I:
December 2, 2010–March 13, 2012
December 31, 2010–March 13, 2012
February 1, 2011–March 13, 2012
Bitcoin
−1.100
−0.926
−0.832
Gold
−1.829
−1.759
−1.700
Commodities
−0.549
−0.596
−0.620
World
2.134
2.122
2.105
Developed
1.629
1.582
1.550
Emerging
−0.283
−0.421
−0.501
Phase II: March 14, 2012–January 13, 2020
Bitcoin
−0.734
−0.547
−0.444
Gold
−0.841
−0.799
−0.773
Commodities
−1.301
−1.289
−1.274
World
2.646
2.599
2.573
Developed
1.919
1.865
1.838
Emerging
−1.689
−1.828
−1.919
Phase III: January 14, 2020–June 23, 2021
Bitcoin
−0.937
−0.818
−0.829
Gold
−1.755
−1.741
−1.665
Commodities
−1.848
−1.989
−2.078
World
3.283
3.264
3.252
Developed
2.485
2.503
2.529
Emerging
−1.229
−1.219
−1.209
Note. The values are produced by the average value of net directional spillover on the basis of Figure 6. 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.
