Volatility and return spillovers between private equity buyout, venture capital and major financial markets

GÖKMENOĞLU KARAKAYA K., Altingunes E.

Investment Analysts Journal, 2024 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1080/10293523.2024.2312708
  • Dergi Adı: Investment Analysts Journal
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, Academic Search Premier, IBZ Online, Business Source Elite, Business Source Premier
  • Anahtar Kelimeler: diversification, financial markets, private equity; venture capital; precious metals, real estate, return spillovers, volatility spillovers
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Evet

Özet

This study investigates the volatility and return spillovers between Private Equity Buyouts (PE) and Venture Capital (VC), the equity market, precious metals, real estate, and the Dollar index, which has been widely ignored in the literature. We analysed daily data from 2 January 2004 to 29 December 2022 using Diebold and Yılmaz's (2012) framework. Our data covers the global financial crisis and the COVID-19 period and is rich enough to examine the linkages between the mentioned financial markets thoroughly. PE's higher connectedness with the equity market than VC’s is the main finding of this research. Besides, PE and VC have low connectedness to precious metals, real estate, and the Dollar index. In the sample period, VC is a net receiver, while PE is a net transmitter of volatility and return spillover. An exciting finding is that during the COVID-19 pandemic, VC experienced lower volatility spillover than PE from the broad market proxied by S&P 500. Investors and portfolio managers can benefit from our results to better diversify their portfolios.