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Connectedness among various financial markets classes under Covid-19 pandemic and 2022 Russo-Ukrainian war: evidence from TVP-VAR approach

Mourad Mroua (Research Laboratory, Probability and Statistics, Institute of Higher Business Studies of Sfax, University of Sfax, Sfax, Tunisia)
Hejer Bouattour (Faculty of Economics and Management, Research Laboratory, Probability and Statistics, University of Sfax, Sfax, Tunisia)

Journal of Financial Economic Policy

ISSN: 1757-6385

Article publication date: 2 February 2023

Issue publication date: 13 March 2023

455

Abstract

Purpose

This paper examines the time-varying return connectedness between renewable energy, oil, precious metals, the Gulf Council Cooperation region and the United States stock markets during two successive crises: the pandemic Covid-19 and the 2022 Russo-Ukrainian war. The main objective is to investigate the effect of the Covid-19 pandemic and the Russo-Ukrainian war on the connectedness between the considered stock markets.

Design/methodology/approach

This paper uses the time-varying parameter vector autoregression approach, which represents an extension of the Spillover approach (Diebold and Yilmaz, 2009, 2012, 2014), to examine the time-varying connectedness among stock markets.

Findings

This paper reflects the effect of the two crises on the stock markets in terms of shock transmission degree. We find that the United States and renewable energy stock markets are the main net emitters of shocks during the global period and not just during the two considered crises sub-periods. Oil stock market is both an emitter and a receiver of shocks against Gulf Council Cooperation region and United States markets during the full sample period, which may be due to price fluctuation especially during the two crises sub-periods, which suggests that the future is for renewable energy.

Originality/value

This paper examines the effect of the two recent and successive crises, the Covid-19 pandemic and the 2022 Russo-Ukrainian war, on the connectedness among traditional stock markets (the United States and Gulf Council Cooperation region) and commodities stock markets (renewable energy, oil and precious metals).

Keywords

Acknowledgements

Competing interests: The authors declare that they have no competing interests.

Funding: No funding was received to assist with the preparation of this manuscript.

Citation

Mroua, M. and Bouattour, H. (2023), "Connectedness among various financial markets classes under Covid-19 pandemic and 2022 Russo-Ukrainian war: evidence from TVP-VAR approach", Journal of Financial Economic Policy, Vol. 15 No. 2, pp. 140-163. https://doi.org/10.1108/JFEP-11-2022-0286

Publisher

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Emerald Publishing Limited

Copyright © 2023, Emerald Publishing Limited

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