On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis
Table 4
Dynamic from 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
2.028
1.747
1.451
Gold
6.330
5.519
4.741
Commodities
9.444
9.522
9.349
World
11.485
11.423
11.331
Developed
11.318
11.247
11.149
Emerging
10.998
11.015
10.917
Phase II: March 14, 2012–January 13, 2020
Bitcoin
2.148
1.683
1.423
Gold
3.045
3.196
3.005
Commodities
4.929
5.283
5.199
World
10.470
10.546
10.520
Developed
10.209
10.293
10.264
Emerging
9.265
9.421
9.404
Phase III: January 14, 2020–June 23, 2021
Bitcoin
5.618
5.497
5.469
Gold
5.141
4.763
4.518
Commodities
6.767
6.672
6.652
World
11.063
11.048
11.063
Developed
10.833
10.828
10.853
Emerging
9.598
9.629
9.690
Note. The values are produced by the average value of total directional spillover from others on the basis of Figure 7. 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).