Looking for Alternatives in Times of Market Stress: A Tail Dependence between the European Stock Markets and Bitcoin, Gold and Fine Wine Market
Let, Blanka; Siemaszkiewicz, Karolina
Year: 2020 Volume: 70 Issue: 5 Pages: 407-430
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.
JEL classification: G11, G15, Q02
Keywords: gold, Bitcoin, wine, alternative investment, safe haven, hedge, diversifier, quantile coherency, frequency, investment horizon
DOI: https://doi.org/10.32065/CJEF.2020.05.02
RePEc: https://ideas.repec.org/a/fau/fauart/v70y2020i5p407-430.html
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