Lamine, Ahlem; Je ibi, Ahmed; Fakh akh, Ta ek
A icle
Spillo e s be ween c yp ocu encies, gold and s ock ma ke s:
Implica ion o hedging s a egies and po olio di e si ica ion unde
he COVID-19 pandemic
Jou nal o Economics, Finance and Adminis a i e Science
P o ided in Coope a ion wi h:
Uni e sidad ESAN, Lima
Sugges ed Ci a ion: Lamine, Ahlem; Je ibi, Ahmed; Fakh akh, Ta ek (2024) : Spillo e s be ween
c yp ocu encies, gold and s ock ma ke s: Implica ion o hedging s a egies and po olio
di e si ica ion unde he COVID-19 pandemic, Jou nal o Economics, Finance and Adminis a i e
Science, ISSN 2218-0648, Eme ald Publishing Limi ed, Bingley, Vol. 29, Iss. 57, pp. 21-41,
h ps://doi.o g/10.1108/JEFAS-09-2021-0173
This Ve sion is a ailable a :
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Spillo e s be ween
c yp ocu encies, gold and s ock
ma ke s: implica ion o hedging
s a egies and po olio
di e si ica ion unde he
COVID-19 pandemic
Ahlem Lamine
Facul
e des Sciences Economiques e de Ges ion de S ax, Uni e si
e de S ax,
S ax, Tunisia
Ahmed Je ibi
Facul
e des Sciences Economiques e de Ges ion de Mahdia, Mahdia, Tunisia, and
Ta ek Fakh akh
Facul
e des Sciences Economiques e de Ges ion de S ax, Uni e si
e de S ax,
S ax, Tunisia
Abs ac
Pu pose –This s udy analyzes he s a ic and dynamic isk spillo e be ween US/Chinese s ock ma ke s,
c yp ocu encies and gold using daily da a om Augus 24, 2018, o Janua y 29, 2021. This s udy p o ides
p ac ical policy implica ions o in es o s and po olio manage s.
Design/me hodology/app oach –The au ho s use he Diebold and Yilmaz (2012) spillo e indices based on
he o ecas e o a iance decomposi ion om ec o au o eg ession amewo k. This app oach allows he
au ho s o examine bo h e u n and ola ili y spillo e be o e and a e he COVID-19 pandemic c isis. Fi s , he
au ho s used a s a ic analysis o calcula e he e u n and ola ili y spillo e indices. Second, he au ho s make a
dynamic analysis based on he 30-day mo ing window spillo e index es ima ion.
Findings –Gene ally, esul s show e idence o signi ican spillo e s be ween ma ke s, pa icula ly du ing he
COVID-19 pandemic. In addi ion, c yp ocu encies and gold ma ke s a e ne ecei e s o isk. This s udy
p o ides also p ac ical policy implica ions o in es o s and po olio manage s. The eached indings sugges
ha he mix o Bi coin (o E he eum), gold and equi ies could o e di e si ica ion oppo uni ies o US and
Chinese in es o s. Gold, Bi coin and E he eum can be conside ed as sa e ha ens o as hedging ins umen s
du ing he COVID-19 c isis. In con as , S ablecoins (Te he and T ueUSD) do no o e hedging oppo uni ies
o US and Chinese in es o s.
O iginali y/ alue –The pape ’s empi ical con ibu ion lies in examining bo h e u n and ola ili y spillo e
be ween he US and Chinese s ock ma ke indices, gold and c yp ocu encies be o e and a e he COVID-19
pandemic c isis. This con ibu ion goes a long way in helping in es o s o iden i y op imal di e si ica ion and
hedging s a egies du ing a c isis.
Keywo ds S ock ma ke s, Gold, C yp ocu encies, S ablecoins, Hedging, Di e si ica ion, COVID-19 c isis
Pape ype Resea ch pape
C yp ocu encies
21
© Ahlem Lamine, Ahmed Je ibi and Ta ek Fakh akh. Published in Jou nal o Economics, Finance and
Adminis a i e Science. Published by Eme ald Publishing Limi ed. This a icle is published unde he
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The cu en issue and ull ex a chi e o his jou nal is a ailable on Eme ald Insigh a :
h ps://www.eme ald.com/insigh /2077-1886.h m
Recei ed 2 Sep embe 2021
Re ised 26 Decembe 2021
6 Oc obe 2022
Accep ed 28 Augus 2023
Jou nal o Economics, Finance and
Adminis a i e Science
Vol. 29 No. 57, 2024
pp. 21-41
Eme ald Publishing Limi ed
2077-1886
DOI 10.1108/JEFAS-09-2021-0173
1. In oduc ion
In Decembe 2019, he COVID-19 ou b eak, iden i ied in he Chinese ci y o Wuhan, is quickly
sp ead o o he pa s o China and a ound he wo ld. As he i us news mo es a beyond
China’s bo de s, he COVID-19 pandemic has signi ican ly impac ed s ock ma ke s a ound
he wo ld (Li, 2021;Mensi e al., 2021;Tan e al., 2021;Gho bel e al., 2022). The co ona i us
pandemic i s a ec ed China’s s ock ma ke s, and hen he emaining s ock ma ke s a ound
he globe. The COVID-19 ecession began in he wo ld in Feb ua y 2020. The da e o Ma ch 9,
2020, eco ded he igge ing o he ci cui b eake s on he US s ock ma ke o he i s ime
since 1997. The 2020 global pandemic caused an unp eceden ed inc ease in he isk o global
inancial ma ke s (Zhang e al., 2020). Tan e al. (2021) indica ed low isk and high e u ns in
he US ma ke a e he c isis. Howe e , China s ock ma ke s exhibi high isk and low e u n.
Mensi e al. (2021) ound ha he 2020 global pandemic in ensi ied spillo e s om commodi y
ma ke s o he US and Chinese s ock ma ke s.
Risk spillo e esea ch is impo an o ma ke pa icipan s in managing asse s, hedging
isks and enhancing in es men e iciencies. Gold is widely conside ed, in ela ed li e a u e, o
be a good asse o hedging isks in inancial ma ke s (Shakil e al., 2018). A e pe iods o
inancial unce ain y wi nessed du ing he las decade, in es o s end o sea ch o new
in es men s a egies ha can o e di e si ica ion and/o hedge ad an ages. Du ing he
global economic and inancial c isis o 2008, gold p ices ose d ama ically, while o he asse s
su e ed losses (Beckmann e al., 2015). As was he case o commodi ies in he ea ly 2000s,
and due o i s high expec ed e u n and low associa ion o la ge inancial asse s, Bi coin may
be a use ul de ice o managing po olios (Bou i e al., 2017,2020;Guesmi e al., 2019;
Fakh ekh and Je ibi, 2020;Cha eddine e al., 2020;Schinckus, 2020;Je ibi and Fakh ekh,
2021;Schinckus e al., 2021;Loukil e al., 2021). I is conside ed he oldes and he mos amous
c yp ocu ency (Schinckus e al., 2020;Schinckus, 2021).
Du ing he global economic and inancial c isis o 2020, inancial ma ke isks in ensi ied,
causing new challenges o inancial isk manage s. In o de o de ine hei po olio
s a egies and hedge hei isks, in es o s need o dis inguish be ween h ee ypes o asse s:
di e si ie , hedge and sa e ha en (Bau and Lucey, 2010). In his con ex , he mos discussed
sa e-ha en asse s in he COVID-19 li e a u e include gold (Belhassine and Ka am i, 2021;
Gho bel and Je ibi, 2021a,b,c;Je ibi e al., 2021;Lahiani e al., 2021;Rubbaniy e al., 2021) and
c yp ocu encies (Conlon and Mcgee, 2020;Ma iana e al., 2020;Gho bel and Je ibi, 2021a,b,c;
Je ibi e al., 2021;Je ibi and Snene_Manzli, 2021;Guo e al., 2021;Je ibi e al., 2021). While
c yp ocu encies can be conside ed as di e si ie asse s, hei use as a medium o exchange is
limi ed by hei p ice ola ili y (Ka siampa, 2017;Fakh ekh and Je ibi, 2020;Je ibi and
Masmoudi, 2021;Je ibi e al., 2022). Recen ly, S ablecoins, which a e pegged o less ola ile
asse s o cu encies, ha e ecei ed a en ion om po olio manage s as well as academic
esea che s beyond he ealm o c yp ocu ency ma ke s (Wang e al., 2020;An e e al., 2021a,
b;Hoang and Bau , 2021;Giudici e al., 2022;G obys e al., 2021;Jalan e al., 2021;
K is ou ek, 2021).
Based on his c ux, we a emp o examine he s a ic and dynamic ola ili y spillo e
be ween US/Chinese s ock ma ke c yp ocu encies and gold wi h he ou b eak o he Co id-
19 pandemic using Diebold and Yilmaz’s (2012) me hod.
Ou s udy con ibu es o he exis ing li e a u e in h ee ways. Fi s , we examine bo h
e u n and ola ili y spillo e be ween he US and Chinese s ock ma ke indices, gold and
c yp ocu encies be o e and du ing he COVID-19 pandemic c isis. Second, we use he digi al
asse and we dis inc be ween c yp ocu encies (Bi coin and E he ) and S ablecoins o a
mo e de ailed analysis. Thi d, we calcula e he Diebold and Yilmaz (2012) indexes o e a
pe iod anging om Augus 2018 o Janua y 2021 ha co e s se e al u bulence e en s,
including he d op in oil p ices and he COVID-19 pandemic. This me hodology allows us o
obse e dynamic spillo e du ing ecen inancial c ises, o analyze he spillo e s o isks
JEFAS
29,57
22
o e ime wi hou b eaking down he s udy pe iod in o subsamples and o iden i y he
ecei e o ansmi e o shocks. Ou s udy helps in es o s o iden i y op imal di e si ica ion
and hedging s a egies du ing a c isis. Gene ally, ou esul s show ha gold, Bi coin and
E he can be conside ed as sa e ha ens du ing he COVID-19 c isis.
The layou o his pape is as ollows: Sec ion 2 p esen s an o e iew o he li e a u e.
Sec ion 3 gi es an ou line o he econome ic me hodology adop ed. Sec ion 4 is de o ed o
highligh ing he ele an da a. In Sec ion 5, we epo and analyze he empi ical indings.
Discussions and policy implica ions a e p esen ed in Sec ion 6. Finally, Sec ion 7 concludes.
2. Li e a u e e iew
Mensi e al. (2019) p o ided e idence o majo ola ili y spillo e e ec s be ween Bi coin and
p ecious me als. They show ha Bi coin hea ily ansmi s ne -posi i e spillo e s o o he
commodi ies. Adebola e al. (2019) ound indica ed ha i migh be e y di icul o de e mine
he changes in he c yp ocu encies’ma ke based on changes in he gold ma ke and ice
e sa. Kang e al. (2019) obse ed a con agion inc ease du ing he Eu opean so e eign deb
c isis. A ela i ely high deg ee o como emen be ween Bi coin and gold u u es p ices o he
pe iod be ween 2012 and 2015 is indica ed by wa ele cohe ence esul s. Shahzad e al. (2019)
p opose a new de ini ion o a weak and s ong sa e ha en which conside s he lowes ails o
bo h he sa e-ha en asse and he s ock index, wi hin a bi a ia e c oss-quan ilog am
app oach. Thei main esul s show ha gold, Bi coin and he commodi y index s udied can be
conside ed weak sa e-ha en asse s.
Huynh e al. (2020) in es iga ed he spillo e e ec s be ween di e en ypes o digi al
asse s and hei ela ionships wi h gold p ices. Thei esul s sugges ed ha Bi coin is s ill he
mos app op ia e ins umen o hedging, while Te he , as a c yp ocu ency ha has a s ong
ancho wi h he US dolla , is ola ile. In he same line o esul s, Iqbal e al. (2021) indica ed
ha digi al asse s se ed as an al e na i e in es men ool in imes o s ess and unce ain y.
Bi coin and o he c yp ocu encies pe o med be e in compa ison wi h o he cu encies.
Je ibi and Fakh ekh (2021) applied he FIEGARCH-EVT-Copula and Hedge a io analysis o
assess he capabili ies o c yp ocu encies o gene a e bene i s om po olio di e si ica ion
as well as hedging s a egies. They a gue ha he in es o should hold mo e con en ional
inancial asse s han digi al asse s. Je ibi e al. (2022) s udied he ola ili y dynamics and
di e si ica ion bene i s o Bi coin unde asymme ic and long memo y e ec s. Thei esul s
indica ed ha he digi al cu ency yields signi ican di e si ica ion bene i s when being
added o a well-di e si ied benchma k po olio.
A as -g owingbodyo esea chon heCo ona i us e ec s on adi ional as well as
digi al ma ke s has eme ged. Conlon and McGee (2020) ound ha Bi coin and E he a e no
sa e ha ens o he majo i y o in e na ional equi y ma ke s. By using se e al copula
models, Ga cia-Jo cano and Beni o (2020) sugges ed ha Bi coin can be conside ed as a
hedge asse agains he US, Eu opean, Japanese and Chinese s ock ma ke index
mo emen s unde no mal ma ke condi ions. Howe e , unde ex eme ma ke condi ions,
Bi coin changes o be a di e si ie asse . Shahzad e al. (2020) in es iga ed he sa e ha en
and hedging cha ac e is ics o Bi coin and gold o he s ock ma ke s o he G7 coun ies.
They ound ha he di e si ica ion bene i s o e ed by gold a e compa a i ely mo e s able
andmuchhighe han hoseo Bi coin.Je ibi and Gho bel (2021) used he gene alized
o hogonal au o eg essi e condi ional he e oskedas ici y (GO-GARCH) model o explo e
he hedging po en ial o gold and digi al asse s o in es o s in de eloped and BRICS
coun ies. They ound ha he isks among de eloped s ock ma ke s can be hedged by gold
and Bi coin. This la e can be conside ed as he new gold o de eloped economies. Unlike
Bi coin, he au ho s p o ide e idence ha gold can be conside ed as a hedge o China. In
he same line o esul s, Gho bel and Je ibi (2021a, b, c) indica ed ha Bi coin and gold we e
C yp ocu encies
23
conside ed hedges o he US in es o s be o e he co ona i us c isis. Howe e , he esul s
show ha , unlike gold, digi al asse s a e no a sa e ha en o US in es o s du ing he 2020
global inancial c isis.
Ahelegbey e al. (2021) used he ex eme downside hedge and he ex eme downside
co ela ion o s udy he ela ionships among digi al asse s du ing s ess ul imes. Thei
esul s indica ed ha digi al asse s can be clus e ed in wo g oups: specula i e
c yp ocu encies, which a e mainly “gi e s”o ail con agion, such as Bi coin, and
echnical c yp ocu encies, which a e mainly “ ecei e s”o con agion, such as E he .
Howe e , S ablecoins a e a wo ld on hei own. By employing he same wa ele spec um
app oach, Ka am i and Belhassine (2022) indica ed ha ea in he US ma ke sp ead o all he
o he inancial ma ke s excep o gold, SSE and c yp ocu encies, which can be di e si ie
asse s o de eloping US po olio s a egies. Schinckus e al. (2021) conside ed anonymous
c yp ocu encies like Mone o, Dash and Ve ge as good di e si ie asse s, bu hei
di e si ying p ope ies canno be obse ed in dec easing ma ke s. They also a gued ha
Dash could be in ol ed in he dynamics o Bi coin and E he he wo la ges pseudo-
anonymous c yp ocu encies (Bi coin/E he ).
Unde he shadow o he 2020 pandemic disease, Elgammal e al. (2021) ound
unidi ec ional mean spillo e s om ene gy ma ke s o he p ecious me al and equi y
coun e pa s, and bidi ec ional e u n spillo e e ec s be ween gold and equi y ma ke s.
Using he di ec ed acyclic g aph, ne wo k opology, and spillo e index, he empi ical
esul s o Guo e al. (2021) show ha he con agion e ec be ween Bi coin and de eloped
ma ke s is s eng hened du ing he 2020 c isis. The la e ci ed au ho s ound ha Bi coin
always has a con agion e ec wi h gold, while gold, he US dolla and he bond ma ke a e
he con agion ecei e s o Bi coin unde he shock o he COVID-19. Thei empi ical esul s
p o ed ha Bi coin is conside ed as a sa e ha en, hedge and di e si ie asse in economic
s able imes bu also ound ha he sus ainabili y o he sa e-ha en p ope y is unde mined
du ing he ma ke u moil. Using he me hodologies o Diebold and Yilmaz (2012) and
Ba un
ıkandK
ehl
ık (2018),Nekhili e al. (2021) examined he ime- equency e u n and
ola ili y spillo e s be ween majo commodi y u u es and cu ency ma ke s. The esul s
show ha he in e media e- and long- e m e u n spillo e s a e domina ed by sho - e m
spillo e s.
Gi en he ex eme ola ili y o Bi coin, in es o s may a he need a sa e ha en agains
Bi coin (Hoang and Bau , 2021). G obys e al. (2021) concluded ha he ola ili y o Bi coin is
a undamen al ac o ha d i es he S ablecoins’ ola ili ies. Using he gene alized ec o
au o eg essi e amewo k and di ec ed spillo e s based on he o ecas e o a iance
decomposi ions, K is ou ek (2021) in es iga ed he spillo e s wi hin he majo
c yp ocu encies and S ablecoins. He ound no e idence ha S ablecoins boos he p ices
o o he c yp ocu encies. Using he DCC-GARCH and ime- a ying copula models, Wang
e al. (2020) examined he isk-dispe sion abili ies o gold-pegged and USD-pegged
S ablecoins agains adi ional digi al cu encies and also compa ed hei isk-dispe sion
abili ies wi h hei unde lying asse s. Thei empi ical esul s show ha S ablecoins can
se e as sa e ha ens in speci ic si ua ions, bu he sa e-ha en p ope y o S ablecoins
changes ac oss ma ke condi ions. They also indica ed ha gold-pegged S ablecoins
pe o m wo se as sa e ha ens han USD-pegged ones. Hoang and Bau (2021) ound ha
S ablecoins a e conside ed as sa e ha ens agains Bi coin. Jalan e al. (2021) s udied he
pe o mance o i e gold-backed S ablecoins du ing he 2020 global pandemic and compa ed
hem o Bi coin, Te he and gold. They ound ha gold-backed c yp ocu encies we e
suscep ible o ola ili y ansmi ed om gold ma ke s. In addi ion, he sa e-ha en po en ial
o gold-backed c yp ocu encies is no compa able o gold. Howe e , Wassiuzzaman and
Abdul-Rahman (2021) p o ided e idence on he sa e-ha en p ope y o gold-backed
c yp ocu encies.
JEFAS
29,57
24
3. Me hod
To s udy he spillo e be ween he US and Chinese s ock ma ke indices, gold,
c yp ocu encies and S ablecoins, we use he econome ic model p esen ed by Diebold and
Yilmaz (2012). This app oach is based on N- a iable ec o au o eg ession (VAR) and
gene alized a iance decomposi ion me hods. The s a ing poin o he analysis is he
co a iance s a iona y N- a iable VAR (p) p esen ed as ollows:
x ¼X
p
i¼1
wix −iþ
ε
(1)
whe e x is a N* 1 ec o o endogenous a iables wiis a N*Nma ix o loading coe icien s
ela ed o lag i, and
ε
is and i.i.d p ocess wi h mean 0 and co a iance ma ix Σ.
The abo e VAR(p) model in Eq. (1) could be epa ame e ized as an in ini e mo ing
a e age p ocess as ollows:
x ¼X
∞
i¼0
Ai
ε
−i(2)
whe e Aiis an N * N ma ix coe icien ma ices, which obey he ecu sion Ai¼Pi
s¼1wi−sAs
wi h Ai¼0 o i< 0. To explain he sys em dynamics, he key is he mo ing a e age
coe icien s o a iance decomposi ions.
The calcula ion o a iance decomposi ion o en p oceeds ia p ecise o hogonaliza ion o
VAR shocks. The Cholesky o hogonaliza ion ac o p oduces o hogonalized inno a ions
and de i es o de -dependen a iance decomposi ion. Likewise, he s uc u al VAR model
main ains assump ions om one heo y o ano he . We apply he Gene alized Fo ecas E o
Va iance Decomposi ion (GFEVD) app oach o Koop e al. (1996) and Pesa an and Shin (1998),
which accoun s o co ela ed s ocks app op ia ely. The gene alized e sion o H-s ep
a iance decomposi ion ma ices can be de ined as ollows:
DgðHÞ¼hdg
ijðHÞi;whe e
dg
ijðHÞ¼
σ
−1
jj PH−1
h¼0ðe0AhPejÞ2
PH−1
h¼0e0AhPA0
hei
(3)
whe e
σ
jj
is he s anda d de ia ion o he e o e m o he j h equa ion, and e0is he selec ion
ec o , wi h i h elemen uni y and ze os o he wise. In he gene alized VAR, he sum o he
elemen s in each ow o he a iance decomposi ion ma ix is no equal o one PN
j¼1dg
ijðHÞ≠1:
Then, each elemen o he a iance decomposi ion ma ix is no malized as ollows:
e
dijðHÞ¼ dg
ijðHÞ
PN
j¼1dg
ijðHÞ(4)
No e ha by cons uc ion, PN
j¼1e
dijðHÞ¼1andPN
i;j¼1e
dijðHÞ¼N:The ma ix DgðHÞ¼½dg
ij ðHÞ
pe mi s us o de ine o al spillo e index, di ec ional and pai wise spillo e indices, ne di ec ional
and ne pai wise spillo e indices.
C yp ocu encies
25
This p oduces a o al spillo e index de ined as
SgðHÞ¼
PN
i;j¼1
i≠je
dijðHÞ
N* 100 (5)
This index measu es he con ibu ion o spillo e s o e u n ( ola ili y) shocks ac oss selec ed
asse classes o he o al a iance o o ecas e o s.
The gene alized VAR amewo k allows di ec ional impac s o be in e ed. Two basic
a ian s o he measu emen o g oss di ec ional impac s could be de ined. Fi s , spillo e
ecei ed by ma ke i om all o he ma ke s j (All o I) by:
Sg
i:ðHÞ¼
PN
j¼1
i≠je
dijðHÞ
N3100 (6)
Second, spillo e om ma ke i o all o he ma ke s (i o All) by:
Sg
:iðHÞ¼
PN
j¼1
i≠je
djiðHÞ
N3100 (7)
Thus, he ne di ec ional impac om ma ke I o all o he ma ke s can be measu ed by
Sg
iðHÞ¼Sg
:iðHÞSg
i:ðHÞ(8)
The ne pai wise spillo e s p o ide in o ma ion on he ne ansmission o shocks om
ma ke l o ma ke j:
Sg
ij ðHÞ¼0
B
@e
djiðHÞe
dijðHÞ
N
1
C
A3100 (9)
The Diebold and Yilmaz (2012) measu es a e lexible (allow o quan i ying bo h e u ns and
ola ili y spillo e s in ma ke s o e ime) and hey a e dynamic. The dynamics o he
spillo e indices a e gene a ed by a mo ing window, which acili a es he s udy o shock
ansmission du ing and ou side c isis pe iods.
4. Da a and p elimina y s a is ics
The empi ical s udy in ol es 622 daily obse a ions o Ame ican and Chinese s ock ma ke
indices, ou popula c yp ocu encies (Bi coin, E he , Te he , and T ueUSD), and gold
sampled om Augus 24, 2018, o Janua y 29, 2021. We selec he e wo majo pseudo-
anonymous c yp ocu encies, Bi coin and E he (Schinckus, 2021), and wo anonymous USD-
pegged S ablecoins namely Te he and T ue. Daily ime se ies da a a e collec ed o
adi ional asse s om Da aS eam. The S&P500 and SSE indices a e assumed o ep esen
adi ional di e si ied inancial po olios o U.S and Chinese in es o s. Da a conce ning
c yp ocu encies we e collec ed om he Coin Ma ke Cap basis.
Diebold and Yilmaz (2012) indices make i possible o s udy e u n and ola ili y
spillo e s. Fo e u n spillo e s, he VAR model is applied di ec ly o he se ies o daily
JEFAS
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26
e u ns. The daily s ock ma ke indices and c yp ocu encies p ice e u ns a e compu ed
on a con inuous basis as he di e ence in loga i hm be ween wo consecu i e
obse a ions:
¼lnðp Þlnðp −1Þ(10)
: Re u n o he asse o daily ;
p
: P ice o he asse o daily ;
p
1
: P ice o he asse o daily 1.
Table 1 p esen s summa y s a is ics o e u ns. All asse s eco ded mean posi i e e u ns
du ing his pe iod, whe eas Te he p esen s he lowes isk and E he p esen s he highes
isk. All asse e u ns, excep o E he and T ueUSD, ha e nega i e skewness. All ma ke
e u ns ha e ku osis alues highe han h ee. In addi ion, he assump ion o Gaussian
e u ns is ejec ed by he Ja que–Be a es o all asse s.
Du ing he COVID-19 pandemic pe iod, he e u ns o all he asse s (excep o E he and
T ueUSD) showed an inc ease compa ed o he e u ns o he p ec isis pe iod. Re u ns o
Te he and T ueUSD, howe e , ell and e en became nega i e o Te he . In addi ion, all
asse s (excep o E he and T ueUSD) ha e expe ienced la ge s anda d de ia ions du ing
he c isis and a e he e o e becoming iskie . Fo Te he and T ueUSD, alling yields a e
SP500 SSE Bi coin E he Te he T ueUSD Gold
Pe iod: Augus 24, 2018 o Janua y 29, 2021
Mean 0.000522 0.000468 0.003718 0.004542 7.65E-06 5.87E-06 0.000725
Median 0.000899 0.000440 0.001389 0.000276 0.000000 9.99E-05 0.001138
Maximum 0.093828 0.063217 0.222361 0.418981 0.021375 0.033774 0.043905
Minimum 0.119841 0.076832 0.391816 0.440031 0.025683 0.022214 0.057225
S d. de . 0.015566 0.012259 0.045865 0.062722 0.003185 0.003960 0.009700
Skewness 0.600665 0.122950 0.680647 0.317689 0.494695 1.279497 0.534478
Ku osis 17.04405 8.628538 14.02468 12.09609 23.72030 24.63131 7.926998
Ja que-Be a 5140.807 821.2961 3192.890 2151.314 11134.26 12276.70 657.6901
Pe iod (be o e Co id-19 c isis): Augus 24, 2018 o No emb e 29, 2019
Mean 0.000296 0.000226 0.001432 0.000151 1.57E-05 8.55E-06 0.000616
Median 0.000509 4.00E-05 0.000297 0.001732 0.000000 0.000100 0.000645
Maximum 0.049594 0.056007 0.222361 0.346948 0.021375 0.033774 0.032974
Minimum 0.032864 0.052233 0.144450 0.200309 0.025683 0.022214 0.021156
S d. de . 0.009601 0.011694 0.044440 0.058480 0.004292 0.005390 0.007261
Skewness 0.254844 0.173037 0.421106 0.664608 0.389235 0.970459 0.517927
Ku osis 6.654687 6.268712 6.960277 8.087132 13.81378 13.81487 4.816010
Ja que-Be a 183.2557 145.4072 220.6240 372.0654 1581.943 1624.805 58.82483
Pe iod (du ing Co id-19 c isis): Decemb e 01, 2019, o Janua y 29, 2021
Mean 0.000767 0.000730 0.006195 0.009628 1.08E-06 2.97E-06 0.000843
Median 0.001857 0.001016 0.002946 0.002772 0.000000 9.99E-05 0.001776
Maximum 0.093828 0.063217 0.157128 0.418981 0.005076 0.007978 0.043905
Minimum 0.119841 0.076832 0.391816 0.440031 0.007525 0.004904 0.057225
S d. De 0.020143 0.012858 0.047311 0.066744 0.001094 0.001113 0.011799
Skewness 0.577464 0.374363 1.692600 0.012895 0.351648 0.726792 0.769852
Ku osis 12.36359 10.29505 20.42597 14.63133 13.01237 13.84644 6.856260
Ja que-Be a 1105.217 667.7485 3912.789 1679.832 1250.881 1486.996 214.0812
Table 1.
Summa y s a is ics o
e u ns
C yp ocu encies
27
ollowed by alling isk. The mode n po olio heo y, in which he isk-a e se in es o s will
only be willing o ake on mo e isk in exchange o a highe e u n, holds ue o ou asse s.
Mo eo e , he ola ili y se ies a e no di ec ly obse able and mus be es ima ed. GARCH
models a e he mos app op ia e models ha ep esen ola ili y in he inancial ma ke s.
Table 2 summa izes he GARCH models used and Table 3 epo s he esul s o he es ima ion
o he GARCH models.
Table 3 epo s he GARCH model es ima ion o US and Chinese s ock ma ke indices,
gold, c yp ocu encies (Bi coin, E he ) and S able coins (Te he , T ueUSD).
5. Resul s
Fi s , we p esen and discuss s a ic spillo e indices. Then, we examine he esul s o he
dynamic analysis based on he olling window spillo e index es ima ion. Tables 4 and 5
show he s a ic o al and di ec ional e u ns and ola ili y spillo e indices o he US and
Chinese s ock ma ke s, espec i ely. These indices gi e an o e all a e age iew o e u n and
ola ili y shocks o e he en i e s udy pe iod. The columns ep esen he US (Chinese)
ma ke s indices, Bi coin, E he , gold, Te he and T ueUSD. The o al spillo e indices appea
in he i s ow o he able. Nex , he di ec ional spillo e indices measu e he e ec s o
shocks ecei ed by ma ke i om all o he ma ke s, he spillo e s ansmi ed by ma ke i o
o he ma ke s, and inally he di e ence be ween hese wo measu es. The las pa o he
able p esen s he pai wise indices. All esul s a e based on a ec o au o eg essi e model o
o de 2 and gene alized a iance decomposi ions o 30-day-ahead o ecas e o s.
Asse s
Mean
speci ica ion Model
Vola ili y
speci ica ion Model
SP500 ARMA (1,2) y ¼a0þa1y −1þ
ε
þb1
ε
−1þb2
ε
−2TGARCH(1,1)
σ
2
¼C0þ
α
1
ε
2
−1þγ1S −1
ε
2
−1þβ1
σ
2
−1
SSE MA(5) y ¼a0þb5
ε
−5GARCH(1,1)
σ
2
¼C0þ
α
1
ε
2
−1þβ1
σ
2
−1
Bi coin MA(7) y ¼a0þb7
ε
−7GARCH(1,1)
σ
2
¼C0þ
α
1
ε
2
−1þβ1
σ
2
−1
E he ARMA((1,1) y ¼a0þa1y −1þ
ε
þb1
ε
−1GARCH(1,1)
σ
2
¼C0þ
α
1
ε
2
−1þβ1
σ
2
−1
Te he ARMA(1,1) y ¼a0þa1y −1þ
ε
þb1
ε
−1GARCH(1,1)
σ
2
¼C0þ
α
1
ε
2
−1þβ1
σ
2
−1
T ueUSD ARMA(1,1) y ¼a0þa1y −1þ
ε
þb1
ε
−1GARCH(1,1)
σ
2
¼C0þ
α
1
ε
2
−1þβ1
σ
2
−1
Gold ARMA(1,1) y ¼a0þa1y −1þ
ε
þb1
ε
−1TGARCH(1,1)
σ
2
¼C0þ
α
1
ε
2
−1þγ1S −1
ε
2
−1þβ1
σ
2
−1
SP500 SSE Bi coin E he Te he T ueUSD Gold
Mean equa ion
a
0
0.0007
**
0.0005 0.0032
**
0.0047
***
2.04
10–6 ***
3.27
10–7
0.0007
***
a
1
0.0837
*
––0.9917
***
0.7296
***
0.6549
***
0.9958
***
b
1
–––0.9950
***
0.9821
***
0.9816
***
0.9959***
b
2
0.09*** ––––––
b
5
–0.07634
**
–––––
b
7
––0.07596
*
––––
Condi ional a iance equa ion
C
0
4.73
10–6 ***
7.98
10–6***
0.0003
***
0.0004
***
9.74
10–9
1.48
10–8
* 2.18
10–6***
α
1
0.1561*** 0.1055*** 0.1797*** 0.1214*** 0.2249*** 0.3151*** 0.1204***
γ
1
0.2356*** ––– – 0.1552***
β
1
0.7378*** 0.8442*** 0.6850*** 0.8022*** 0.7705*** 0.6807*** 0.8766***
No e(s): ***, ** and * deno e signi icance a 1, 5 and 10% le el, espec i ely
Table 2.
Summa y o he
selec ed models
Table 3.
Es ima e pa ame e s o
GARCH models
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28
consis en wi h Wang e al. (2020) and Schinckus e al. (2021). We sugges ha in es o s use
S ablecoins wi h cau ion o a oid an ex emely nega i e e ec on hei po olios.
S ablecoins appea o be di e en in es men p oduc s han pseudo-anonymous
c yp ocu encies (Bi coin, E he ).
6.2 Policy/manage ial implica ions
The empi ical indings o his s udy p o ide insigh ul in o ma ion o po olio manage s
and in es o s. Fo ins ance, po olio manage s can use sui able ools o accoun o he isk
spillo e be ween digi al and adi ional asse e u ns in o de o adap hei hedging
s a egy o he shock isk size and ma u i y. Also, US and Chinese in es o s may conside
gold and c yp ocu encies (Bi coin, E he ) as al e na i e asse s om a po olio managemen
pe spec i e. Such asse s o e hedging and di e si ica ion bene i s o he US and Chinese
in es o s. S ablecoins appea o be di e en om adi ional c yp ocu encies. Te he and
T ueUSD a e a om being sa e ha ens du ing he COVID-19 c isis and do no o e
di e si ica ion bene i s o Ame ican and Chinese in es o s. In addi ion, specula o s may
op o a sp ead s a egy o imp o e hei po olio e u ns in bo h adi ional and digi al
ma ke s.
Figu e 4.
Dynamic spillo e
be ween Bi coin/E he
and gold
C yp ocu encies
35
Figu e 5.
Dynamic spillo e
be ween US/Chinese
s ock ma ke s and
S ablecoins
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29,57
36
6.3 Fu u e esea ch agenda
Fu u e esea ch can use o he me hodologies such as he quan ile connec edness app oach as
well as bi a ia e VAR o each pai o mul i a ia e VAR o bo h adi ional and digi al
ma ke s o s udy he e ec o he 2022 Russian in asion o Uk aine on he beha io o
adi ional and digi al ma ke s. As well, gi en ha NFTs and DeFi ha e ecei ed g owing
a en ion, s a egic asse alloca ion in NFT and DeFi ma ke s can be s udied and he ole o
adi ional and digi al sa e ha ens and hedges du ing wa c isis imes. In addi ion, La in
Ame ica has seen imp essi e le els o c yp ocu ency adop ion o e he las ew yea s. We
can s udy linkages be ween digi al asse s, especially S ablecoins and La in Ame ican equi y
ma ke s. These linkages help Ame ican La in in es o s o de e mine whe he
c yp ocu encies can educe he equi y isk du ing c isis pe iods.
7. Conclusion
This pape in es iga es he dynamic linkages be ween s ock ma ke s, c yp ocu encies and
gold. I a emp s o p o ide sugges ions o po olio isk managemen . We analyze ola ili y
e u n and isk spillo e e ec s be ween hese ma ke s using he Diebold and Yilmaz (2012)
spillo e index. Ou empi ical esul s show s a is ically signi ican isk spillo e s among
inancial ma ke s, which in ensi ied du ing he ecen COVID-19 c isis. The Diebold and
Yilmaz (2012) indices show ha Bi coin, E he and gold a e ne ecei e s o e u n and
ola ili y shocks. In he con ex o po olio managemen analysis, he esul s show ha a mix
o c yp ocu encies (Bi coin, E he ), gold and equi ies could o e di e si ica ion
oppo uni ies o he Ame icans and Chinese du ing he COVID-19 pandemic c isis.
Mo eo e , we show ha , in pe iods o u bulence, bo h Ame ican and Chinese in es o s u n
o he Bi coin, E he and gold ma ke s o minimize he impac o he c isis on hei po olios
and he e o e hei weal h. Indeed, we ind ha he in oduc ion o gold and c yp ocu encies
(Bi coin, E he ) can imp o e he pe o mance o he US and Chinese adi ional di e si ied
inancial po olios. These asse s, he e o e, o e hedging and di e si ica ion bene i s o he
US and Chinese in es o s. Ne e heless, S ablecoins canno be a good hedge po olio
in es men and canno o e any di e si ica ion bene i s du ing he COVID-19 pandemic
c isis.
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Abou he au ho s
Ahlem Lamine holds a PhD in Finance om he Uni e si y o S ax (Tunisia), Facul y o Economics and
Managemen , eaching Finance, and Po olio managemen . She is a membe o he LABORATORY
esea ch “P obabili y and S a is ics”specializing in inancial modeling. His esea ch a eas include
po olio selec ion, in e na ional di e si ica ion, neu al ne wo ks, and S ochas ic Dominance.
Ahmed Je ibi is an associa e P o esso o Finance a he Uni e si y o Monas i (Tunisia), Facul y o
Economics and Managemen , eaching Finance, His esea ch a eas include C yp ocu ency, and Risk
Managemen .
Ta ek Fakh akh is an associa e P o esso o Finance a he Uni e si y o S ax (Tunisia), , Facul y o
Economics and Managemen , eaching Finance, Financial ma ke , Po olio managemen , De i a i es,
Asse P icing and Financial Econome ics ools. He is a membe o he LABORATORY esea ch
“P obabili y and S a is ics”specializing in inancial modeling. His esea ch a eas include Financial
Economics, Po olios selec ion, De i a i es, Asse P icing, Risk Managemen , Risky deb p icing, and
Nume ical Me hod in Finance. He has published a ious pape s in he G oup o Resea ch in Decision
Analysis (GERAD) epo and in e e ed in e na ional jou nals, including Economic Modeling and he
Eu opean Jou nal o Ope a ional Resea ch. Ta ek Fakh akh is he co esponding au ho and can be
con ac ed a : [email p o ec ed]
Fo ins uc ions on how o o de ep in s o his a icle, please isi ou websi e:
www.eme aldg ouppublishing.com/licensing/ ep in s.h m
O con ac us o u he de ails: [email p o ec ed]
C yp ocu encies
41
