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Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs

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  • Papathanasiou, Spyros
  • Koutsokostas, Drosos
  • Pergeris, Georgios

Abstract

This study investigates the volatility spillovers between Special Purpose Acquisition Companies (SPACs) and a set of alternative instruments comprising traditional IPOs, merger arbitrage, hedge replication funds and equities, utilizing a time-varying spillover approach. Our empirical findings, based on high frequency dataset comprising 2,136 observations for the period 10/01/2020–06/08/2021, show that the level of volatility spillovers is moderate and consistent throughout the sample period. The SPAC market displays a relative neutral reaction within the channel of the diffused shocks, suggesting possible portfolio diversification gains for different types of investors.

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  • Papathanasiou, Spyros & Koutsokostas, Drosos & Pergeris, Georgios, 2022. "Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs," Finance Research Letters, Elsevier, vol. 47(PA).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005419
    DOI: 10.1016/j.frl.2021.102602
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    Cited by:

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    2. Yousfi, Mohamed & Farhani, Ramzi & Bouzgarrou, Houssam, 2024. "From the pandemic to the Russia–Ukraine crisis: Dynamic behavior of connectedness between financial markets and implications for portfolio management," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1178-1197.
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    5. Vijai Kaarthi Visvanathan & Karthikeyan Palaniswamy & Dineshkumar Ponnaiyan & Mathan Chandran & Thanarajan Kumaresan & Jegathishkumar Ramasamy & Senthilarasu Sundaram, 2023. "Fuel Cell Products for Sustainable Transportation and Stationary Power Generation: Review on Market Perspective," Energies, MDPI, vol. 16(6), pages 1-21, March.
    6. Papathanasiou, Spyros & Dokas, Ioannis & Koutsokostas, Drosos, 2022. "Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    7. Dimic, Nebojsa & Goodell, John W. & Piljak, Vanja & Vulanovic, Milos, 2023. "Acquisition determinants of energy SPACs: Reflecting a closed group?," Finance Research Letters, Elsevier, vol. 55(PB).
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    More about this item

    Keywords

    Alternative investments; SPACS; IPOs; Merger arbitrage; Connectedness; COVID-19;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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