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Time and frequency domain connectedness and spillover among categorical and regional financial stress, gold and bitcoin market

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  • Hoque, Mohammad Enamul
  • Soo-Wah, Low
  • Tiwari, Aviral Kumar
  • Akhter, Tahmina

Abstract

Fragility of the financial system has been a matter of global concern. This study examines connectedness and spillovers among financial stress index (FSI) categories, regional FSI, gold, and Bitcoin. We employed time-varying and frequency domain approach of Chatziantoniou et al. (2021) using weekly data. We confirmed the interdependencies and connectedness of gold and Bitcoin with global categorical and regional financial stress. We find that credit FSI category is the largest transmitters in every model, implying that credit risk is an important driver of financial stress. United States is the largest stress contributor within the regional category. Additionally, connectedness among FSI categories, regional FSI, gold and Bitcoin has intensified during COVID-19 pandemic. In the short run, while gold and Bitcoin are net shocks receivers of categorical and regional financial stress, they are net shocks transmitters in the long run. Hence, gold and Bitcoin lost their safe-haven properties in the short-run but retained their values in the long-run. The findings expand understanding on the role of gold and Bitcoin for investors seeking protection from global financial stress.

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  • Hoque, Mohammad Enamul & Soo-Wah, Low & Tiwari, Aviral Kumar & Akhter, Tahmina, 2023. "Time and frequency domain connectedness and spillover among categorical and regional financial stress, gold and bitcoin market," Resources Policy, Elsevier, vol. 85(PA).
    • Handle: RePEc:eee:jrpoli:v:85:y:2023:i:pa:s030142072300497x
    DOI: 10.1016/j.resourpol.2023.103786
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    More about this item

    Keywords

    Financial stress index; Gold; Bitcoin; Spillover; COVID-19;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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