This paper contributes to the embryonic literature on the relations between Bitcoin and conventional investments by studying return and volatility spillovers between this largest cryptocurrency and four asset classes (equities, stocks, commodities, currencies, and bonds) in bear and bull market conditions. We conducted empirical analyses based on a smooth transition VAR GARCH-in-mean model covering daily data from July 19, 2010 to October 31, 2017. We found significant evidence that Bitcoin returns are related quite closely to those of most of the other assets studies, particularly commodities, and therefore, the Bitcoin market is not isolated completely. The significance and sign of the spillovers exhibited some differences in the two market conditions and in the direction of the spillovers, with greater evidence that Bitcoin receives more volatility than it transmits. Our findings have implications for investors and fund managers who are considering Bitcoin as part of their investment strategies and for policymakers concerned about the vulnerability that Bitcoin represents to the stability of the global financial system.

In this paper we have re-investigated the frequently observed anomalous negative relationship between inflation (INF) and real estate investment trust (REIT) returns for two most important economies viz., the USA and the UK by addressing two aspects of misspecification: Inappropriate functional form and omission of relevant variable. We have found that the anomalous relationship between REIT and INF appear to proxy for the significant effect of relative price variability (RPV) on REIT returns (REITR) in both the countries. Further, it is evidenced that the effect of RPV on REITR is not stable over time in case of the USA while in the UK there is no structural change in the relationship.

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