On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis
Table 5
Dynamic to 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
1.131
0.821
0.619
Gold
4.496
3.759
3.041
Commodities
9.126
8.925
8.729
World
13.665
13.546
13.436
Developed
12.993
12.829
12.699
Emerging
10.856
10.594
10.414
Phase II: March 14, 2012–January 13, 2020
Bitcoin
1.368
1.135
0.979
Gold
2.617
2.397
2.232
Commodities
4.159
3.993
3.925
World
13.236
13.146
13.093
Developed
12.259
12.158
12.102
Emerging
7.772
7.593
7.485
Phase III: January 14, 2020–June 23, 2021
Bitcoin
4.681
4.678
4.639
Gold
3.386
3.022
2.853
Commodities
4.919
4.683
4.574
World
14.347
14.312
14.315
Developed
13.318
13.330
13.382
Emerging
8.369
8.409
8.481
Note. The values are produced by the average value of total directional spillover to others on the basis of Figure 8. 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).
