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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