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Looking for Alternatives in Times of Market Stress: A Tail Dependence between the European Stock Markets and Bitcoin, Gold and Fine Wine Market

Author

Listed:
  • Blanka Let

    (Department of Applied Mathematics, Poznan University of Economics and Business, Poland)

  • Karolina Siemaszkiewicz

    (Department of Applied Mathematics, Poznan University of Economics and Business, Poland)

Abstract

This study investigates relations between returns from the traditional stock markets and alternative investments over different investment horizons. Using a quantile coherency, we verify whether an occurrence of the extreme negative returns calculated over several frequencies in the stock exchange coincides with the occurrence of high positive or negative returns in the Bitcoin, gold and fine wine market. We found that in most cases considered alternative investments may act as a weak hedge in normal market conditions. In times of market stress, for all investment horizons only gold is a safe haven for examined stock markets. Results for Bitcoin and fine wines depend on the investment horizon, but in both cases, we found that there is a contagion effect for long-term investments.

Suggested Citation

  • Blanka Let & Karolina Siemaszkiewicz, 2020. "Looking for Alternatives in Times of Market Stress: A Tail Dependence between the European Stock Markets and Bitcoin, Gold and Fine Wine Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 70(5), pages 407-430, November.
    • Handle: RePEc:fau:fauart:v:70:y:2020:i:5:p:407-430
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    File URL: https://journal.fsv.cuni.cz/mag/article/show/id/1471
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    Citations

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    Cited by:

    1. Potrykus, Marcin, 2023. "Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    3. Będowska-Sójka, Barbara & Kliber, Agata, 2022. "Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective," Energy Economics, Elsevier, vol. 115(C).
    4. Echaust, Krzysztof & Just, Małgorzata, 2022. "Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions," Research in International Business and Finance, Elsevier, vol. 63(C).
    5. Kliber, Agata, 2022. "Looking for a safe haven against American stocks during COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).

    More about this item

    Keywords

    gold; Bitcoin; wine; alternative investment; safe haven; hedge; diversifier; quantile coherency; frequency; investment horizon;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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