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

This study investigates whether representative sectoral stock indices, gold, oil, Bitcoin, and wheat canmitigate risk and improve portfolio performance during normal times versus crises. The cutting-edgeQuantile 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 commod-ities and stock indices and that Bitcoin and wheat despite their significant linkages with financialmarkets fail to act as safe havens. Moreover, GDCC-GARCH indicates that the returns of sectoralindices are weakly related but display powerful volatility co-movements. Gold serves efficiently asa hedger and oil follows and both act as better shelters during crises. Nevertheless, Bitcoin partlyabides by conventional markets in stressed periods. Notably, wheat reliably works as a hedger overallbut does not become a safe haven during crises.