Bitcoin's Asymmetric Financial Role: Dynamic Spillovers, Regime Shifts, and Contrarian Strategy Implications: Supplementary Material

This Supplementary Material provides the complete empirical foundation and technical appendices supporting the findings of the main paper, “Bitcoin’s Asymmetric Financial Role: Dynamic Spillovers, Regime Shifts, and Contrarian Strategy Implications”. The document is designed to complement and extend the main study by offering full transparency on methodology, diagnostics, robustness checks, and additional results that could not be included in the published manuscript due to space constraints. Starting from the paper’s core research question—whether Bitcoin exhibits a dual role as both a risk amplifier during systemic stress and a contrarian asset in stable periods—this supplement systematically documents the underlying data, model estimation procedures, and diagnostic validations. It details the implementation of the Bayesian Time-Varying Parameter VAR with Stochastic Volatility (TVP-VAR-SV) model, including convergence metrics, impulse response structures, and forecast error variance decompositions. Regime-switching correlation analysis and narrative event regressions further enrich the dynamic characterization of Bitcoin’s financial behavior. Additionally, the supplement explores Bitcoin's distinctiveness relative to Ethereum, analyzes the BTC-to-Gold ratio as a sentiment proxy, and tests the robustness of results under alternative econometric frameworks. Extended forecasting horizons, macro-regime strategy timelines, and ESG integration scenarios offer practical extensions for asset managers. Finally, the document demonstrates how the Contrarian Index developed in the main study translates into tangible asset allocation strategies through backtests, performance comparisons, and macro-aware portfolio simulations. Together, these materials strengthen the scientific validity, replicability, and policy relevance of the main study and provide researchers and practitioners with the necessary tools to further investigate Bitcoin's evolving role in the global financial ecosystem. Designed as a transparent companion to the main manuscript, this supplement serves as both a methodological logbook and a replicability blueprint, documenting every model nuance, assumption, and robustness layer that supports the paper’s central thesis.