Litigation funding is gradually growing in Australia, although, there remains a lack of understanding regarding its dynamic relationship with other assets. Litigation funding covers litigant’s lawsuit-related expenses using the legal outcome as collateral. This study investigates the dynamic relationship between litigation funding, Gold, Bitcoin and the stock market using data from July 2015 to July 2020. Three important findings emerge by employing return spillover effects, Markov regime-switches and dynamic correlations; (1) litigation funding and the stock market share a lower degree of correlation with each other; (2) capital started flowing away from the stock market to litigation funding after the COVID-19 market shock; and (3) the dynamic correlations between litigation funding and Gold (Bitcoin) started increasing (decreasing) after the COVID-19 market shock. Because the judgement or settlement amount is a contingent outcome, litigation funding is immune from the market shocks, and relevant for portfolio diversification and other investment strategies.