Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic

dc.contributor.authorLamine, Ahlem
dc.contributor.authorJeribi, Ahmed
dc.contributor.authorFakhfakh, Tarek
dc.date.accessioned2024-07-03T21:23:32Z
dc.date.available2024-07-03T21:23:32Z
dc.date.issued2024-03-30
dc.description.abstractPurpose: This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers. Design/methodology/approach: The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation. Findings: Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors. Originality/value: The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.en_EN
dc.identifier.citationLamine, A., Jeribi, A., & Fakhfakh, T. (2024). Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic. Journal of Economics, Finance and Administrative Science, 29(57), 21–41. https://doi.org/10.1108/JEFAS-09-2021-0173
dc.identifier.doihttps://doi.org/10.1108/JEFAS-09-2021-0173
dc.identifier.urihttps://hdl.handle.net/20.500.12640/4000
dc.languageInglés
dc.language.isoeng
dc.publisherUniversidad ESAN. ESAN Ediciones
dc.publisher.countryPE
dc.relation.ispartofurn:issn:2218-0648
dc.relation.urihttps://revistas.esan.edu.pe/index.php/jefas/article/view/723/578
dc.rightsAttribution 4.0 Internationalen
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.subjectStock marketsen_EN
dc.subjectGolden_EN
dc.subjectCryptocurrenciesen_EN
dc.subjectMercados de valoreses_ES
dc.subjectStablecoinsen_EN
dc.subjectOroes_ES
dc.subjectCriptomonedases_ES
dc.subjectHedgingen_EN
dc.subjectStablecoinses_ES
dc.subjectDiversificationen_EN
dc.subjectCoberturaes_ES
dc.subjectDiversificaciónes_ES
dc.subjectCOVID-19 crisisen_EN
dc.subjectCrisis COVID-19es_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.04
dc.titleSpillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemicen_EN
dc.typeinfo:eu-repo/semantics/article
dc.type.otherArtículo
dc.type.versioninfo:eu-repo/semantics/publishedVersion
local.acceso.esanAcceso abierto
oaire.citation.endPage41
oaire.citation.issue57
oaire.citation.startPage21
oaire.citation.titleJournal of Economics, Finance and Administrative Science
oaire.citation.volume29

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