Risk aversion, safe-haven assets, and Bitcoin's evolving role in global financial markets: Insights from quantile spillover analysis

In this study, we used a rolling-window quantile vector autoregression (QVAR) spillover framework to analyze how shocks associated with investor risk aversion propagate across major asset classes under different market states. The study spanned July 2014 to July 2024 and included gold, silver, Bitcoin, crude oil, major currencies, real estate investment trusts (REITs), U.S. Treasuries, dividend-paying equities, and broad equity indices. By estimating spillovers at the 10th, 50th, and 90th conditional return quantiles, we distinguished risk transmitters and risk absorbers in stressed, normal, and euphoric regimes. We then tested robustness across forecast horizons and alternative fear measures (our baseline risk-aversion index versus the VIX). The results indicated that, under normal conditions, Bitcoin is a dominant net transmitter of shocks, exporting risk to other assets, while traditional safe-haven assets, such as gold and silver, primarily absorb risk. In bull markets, Bitcoin's transmitting role intensifies and aligns with other high-beta assets, such as REITs, suggesting that Bitcoin amplifies risk-taking during periods of market optimism. However, under bear markets, Bitcoin's spillover power weakens sharply. Instead, U.S. Treasuries and gold emerge as key shock absorbers, reinforcing their defensive status during crisis periods. These findings suggest that Bitcoin is valuable for upside-oriented diversification but remains less reliable than Treasuries or gold as a downside hedge. The consistency of these patterns across horizons and fear proxies highlights the broader applicability of our framework for studying systemic risk, portfolio allocation, and safe-haven behavior.