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The influential impacts of international dynamic spillovers in forming investor preferences: a quantile-VAR and GDCC-GARCH perspective

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  • Konstantinos A. Dimitriadis
  • Demetris Koursaros
  • Christos S. Savva

Abstract

This study investigates whether representative sectoral stock indices, gold, oil, Bitcoin, and wheat can mitigate risk and improve portfolio performance during normal times versus crises. The cutting-edge Quantile Vector Autoregressive model and the Generalized Dynamic Conditional Correlations (Generalized-DCC) framework are adopted covering from 9 January 2017 until 30 August 2022. Econometric findings by the Q-VAR reveal that oil presents the strongest connection with commodities and stock indices and that Bitcoin and wheat despite their significant linkages with financial markets fail to act as safe havens. Moreover, GDCC-GARCH indicates that the returns of sectoral indices are weakly related but display powerful volatility co-movements. Gold serves efficiently as a hedger and oil follows and both act as better shelters during crises. Nevertheless, Bitcoin partly abides by conventional markets in stressed periods. Notably, wheat reliably works as a hedger overall but does not become a safe haven during crises.

Suggested Citation

  • Konstantinos A. Dimitriadis & Demetris Koursaros & Christos S. Savva, 2025. "The influential impacts of international dynamic spillovers in forming investor preferences: a quantile-VAR and GDCC-GARCH perspective," Applied Economics, Taylor & Francis Journals, vol. 57(45), pages 7175-7195, September.
    • Handle: RePEc:taf:applec:v:57:y:2025:i:45:p:7175-7195
    DOI: 10.1080/00036846.2024.2387868
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