Purpose

This study aims to provide empirical evidence on the return and volatility spillover effects between Southeast Asian stock markets, bitcoin and gold in the periods before and during the COVID-19 pandemic. The interdependence among different asset classes, the two leading stock markets in Southeast Asia (Singapore and Thailand), bitcoin and gold, is analyzed for diversification opportunities.

Design/methodology/approach

The vector autoregressive-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity model is used to capture the return and volatility spillover effects between different financial assets. The data cover the period from October 2013 to May 2021. The full period is divided into two sub-sample periods, the pre-pandemic period and the during-pandemic period, to examine whether the financial turbulence caused by COVID-19 affects the interconnectedness between the assets.

Findings

The stocks in Southeast Asia, bitcoin and gold become more interdependent during the pandemic. During turbulent times, the contagion effect is inevitable regardless of region and asset class. Furthermore, bitcoin does not provide protection for investors in Southeast Asia. The pricing mechanism and technology behind bitcoin are different from common stocks, yet the results indicate the co-movement of bitcoin and the Singaporean and Thai stocks during the crisis. Finally, risk-averse investors should ensure that gold constitutes a significant proportion of their portfolio, approximately 40%–55%. This strategy provides the most effective hedge against risk.

Originality/value

The mean return and volatility spillover is analyzed between bitcoin, gold and two preeminent stock markets in Southeast Asia. Most prior studies test the spillover effect between the same asset classes such as equities in different regions or different commodities, currencies and cryptocurrencies. Moreover, the time-series data are divided into two groups based on the structural break caused by the COVID-19 pandemic. The findings of this study offer practical implications for risk management and portfolio diversification. Diversification opportunities are becoming scarce as different financial assets witness increasing integration.

中文翻译：

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东南亚股市、比特币和黄金之间的联系：COVID-19 大流行之前和期间的溢出效应

目的

本研究旨在为东南亚股市、比特币和黄金在 COVID-19 大流行之前和期间的回报和波动溢出效应提供经验证据。分析了不同资产类别之间的相互依存性，即东南亚的两个主要股票市场（新加坡和泰国）比特币和黄金，以寻找多样化的机会。

设计/方法/方法

向量自回归-Baba、Engle、Kraft 和 Kroner 广义自回归条件异方差模型用于捕捉不同金融资产之间的回报和波动溢出效应。数据涵盖 2013 年 10 月至 2021 年 5 月期间。整个期间分为两个子样本期，即大流行前时期和大流行期间，以检验 COVID-19 引起的金融动荡是否影响互联性资产之间。

发现

在大流行期间，东南亚的股票、比特币和黄金变得更加相互依存。在动荡时期，无论地区和资产类别如何，传染效应都是不可避免的。此外，比特币不为东南亚投资者提供保护。比特币背后的定价机制和技术与普通股票不同，但结果表明危机期间比特币与新加坡和泰国股票的联动。最后，规避风险的投资者应确保黄金在其投资组合中占很大比例，约为 40%–55%。这种策略提供了最有效的风险对冲。

原创性/价值

分析了比特币、黄金和东南亚两个主要股票市场之间的平均回报和波动溢出。大多数先前的研究都测试了相同资产类别之间的溢出效应，例如不同地区的股票或不同的商品、货币和加密货币。此外，时间序列数据根据 COVID-19 大流行引起的结构性中断分为两组。本研究的结果为风险管理和投资组合多元化提供了实际意义。随着不同金融资产日益整合，多元化机会变得稀缺。