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This paper aims to examine the dynamic return and volatility connectedness for six major industrial metals (tin, lead, nickel, zinc, copper and aluminium) and the coronavirus media coverage index (MCI).

To that purpose, this study applies the fresh time-varying parameter vector autoregression methodology (TVP–VAR model) during the sample period between 2 January, 2020, and 16 April, 2021, that is, covering the three waves of the COVID-19 pandemic crisis.

This study’s results show interesting findings. First, dynamic total return and volatility connectedness changes over time, highlighting a significant increase during the third wave of the pandemic. Second, the MCI index is a leading net transmitter in terms of return and volatility at the introduction of the SARS-CoV-2 coronavirus crisis. Third, this study clearly distinguishes two profiles among industrial metals: copper and tin/zinc as net transmitters and lead and aluminium as net receivers. Finally, the most relevant differences between them are concentrated not only at the beginning of the COVID-19 pandemic (first wave) but also during the second and third waves of the coronavirus outbreak.

To the best of the authors’ knowledge, this is the first research that explores the dynamic return and volatility connectedness in the industrial metal market, applying the TVP–VAR methodology during the first waves of the COVID-19 pandemic crisis.

The aim of this study was to investigate the dynamic network connectedness between stock markets and commodity futures and its implications on hedging strategies. Specifically, the authors studied the impact of the 2014 oil price drop and coronavirus disease 2019 (COVID-19) pandemic on risk spillovers and portfolio allocation among stock markets (United States (SP500), China (SSEC), Japan (Nikkei 225), France (CAC40) and Germany (DAX)) and commodities (oil and gold).

In this study, the authors used the Baba, Engle, Kraft and Kroner–generalized autoregressive conditional heteroskedasticity (BEKK–GARCH) model to estimate shock transmission among the five financial markets and the two commodities. The authors rely on Diebold and Yılmaz (2014, 2015) methodology to construct network-associated measures.

Relying on the BEKK–GARCH, the authors found that the recent health crisis of COVID-19 intensified the volatility spillovers among stock markets and commodities. Using the dynamic network connectedness, the authors showed that at the 2014 oil price drop and the COVID-19 pandemic shock, the Nikkei225 moderated the transmission of volatility to the majority of markets. During the COVID-19 pandemic, the commodity markets are a net receiver of volatility shocks from stock markets. In addition, the SP500 stock market dominates the network connectedness dynamic during the COVID-19 pandemic, while DAX index is the weakest risk transmitter. Regarding the portfolio allocation and hedging strategies, the study showed that the oil market is the most vulnerable and risky as it was heavily affected by the two crises. The results show that gold is a hedging tool during turmoil periods.

This study contributes to knowledge in this area by improving our understanding of the influence of fluctuations in oil prices on the dynamics of the volatility connection between stock markets and commodities during the COVID-19 pandemic shock. The study’s findings provide more implications regarding portfolio management and hedging strategies that could help investors optimize their portfolios.

This paper aims to examine the dynamic spillover effects and network connectedness between the oil prices and the Islamic and conventional financial markets in the Gulf Cooperation Council countries. The focus is on network connectedness during the 2008–2009 global financial crisis, the 2014–2016 oil crisis and the COVID-19 pandemic. The authors use daily data covering the period from January 1, 2007 to April 14, 2022.

This study applies a spillover analysis and connectedness network to investigate the risk contagion among the Islamic and conventional stock–bond markets. The authors rely on Diebold and Yilmaz’s (2012, 2014) methodology to construct network-associated measures.

The results suggest that overall connectedness among financial market uncertainties increased during the global financial crisis, the oil price collapse of 2014–2016 and the COVID-19 crisis. In addition, the authors show that the contribution of oil shocks to the financial system is limited, as the oil market was a net receiver during the 2014 oil shock and the COVID-19 crisis. On the other hand, the Islamic and conventional stock markets are extensive sources of network effects on the oil market and Islamic and conventional bond markets. Furthermore, the authors found that the Sukuk market was significantly affected by the COVID-19 pandemic, whereas the conventional and Islamic stock markets were the highest transmitters of shocks during the COVID-19 pandemic outbreak. Moreover, oil revealed a weak connectedness with the Islamic and conventional stock markets during the COVID-19 health crisis, implying that it helps provide diversification benefits for international portfolio investors.

This study contributes to this field by improving the understanding of the effect of fluctuations in oil prices on the dynamics of the volatility connection between oil and Islamic and conventional financial markets during times of stress through a network connectedness framework. The main results of this study highlight the role of oil in portfolio allocation and risk minimization when investing in Islamic and conventional assets.

This paper aims to study the interlinkages between cryptocurrency and the stock market by characterizing their connectedness and the effects of the COVID-19 crisis on their relations.

The author employs a quantile vector autoregression (QVAR) to identify the connectedness of nine indicators from January 1, 2018, to December 31, 2021, in an effort to examine the relationships between cryptocurrency and stock markets.

The results demonstrate that the pandemic shocks appear to have influences on the system-wide dynamic connectedness. Dynamic net total directional connectedness implies that Bitcoin (BTC) is a net short-duration shock transmitter during the sample. BTC is a long-duration net receiver of shocks during the 2018–2020 period and turns into a long-duration net transmitter of shocks in late 2021. Ethereum is a net shock transmitter in both durations. Binance turns into a net short-duration shock transmitter during the COVID-19 outbreak before receiving net shocks in 2021. The stock market in different areas plays various roles in the short run and long run. During the COVID-19 pandemic shock, pairwise connectedness reveals that cryptocurrencies can explain the volatility of the stock markets with the most severe impact at the beginning of 2020.

Insightful knowledge about key antecedents of contagion among these markets also help policymakers design adequate policies to reduce these markets' vulnerabilities and minimize the spread of risk or uncertainty across these markets.

The author is the first to investigate the interlinkages between the cryptocurrency and the stock market and assess the influences of uncertain events like the COVID-19 health crisis on the dynamic interlinkages between these two markets.

本學術論文擬透過找出加密貨幣與股票市場兩者相互關聯之特徵,來探討這個聯繫;文章亦擬探究2019冠狀病毒病全球大流行對這相互關聯的影響。

作者以分量向量自我迴歸法、來找出2018年1月1日至2021年12月31日期間九個指標的關聯,藉此探討加密貨幣與股票市場之間的關係。

研究結果顯示,全球大流行的驚愕,似對全系統動態關聯產生了影響。動態總淨值定向關聯暗示了就我們的樣本而言,比特幣是一個純短期衝擊發送器。比特幣在2018年至 2020年期間是一個衝擊的長期純接收器,並進而於2021年年底成為一個衝擊的長期純發送器。以太坊則為短期以及長期之純衝擊發送器。幣安在2019冠狀病毒病爆發期間,在2021年接收純衝擊前、成為一個純短期衝擊發送器。位於不同地區的股票市場,無論在短期抑或長期而言均扮演各種不同的角色。在2019冠狀病毒病全球大流行的驚愕期間,成對的關聯顯示了加密貨幣可以以2020年年初最嚴重的影響去解釋和說明股票市場的波動。

研究結果使我們能深入認識有關的市場之間不同情緒和看法的蔓延所帶來的影響的主要先例,這些知識、亦能幫助決策者制定適當的政策,以減少有關的市場的弱點,並把這些市場間的風險和不確定性的散播減到最低。

作者是首位研究加密貨幣與股票市場之間的相互關聯的學者,亦是首位學者、去評估像2019冠狀病毒病健康危機的不確定事件,會如何影響有關的兩個市場之間的動態相互關聯。

This study explores the interconnectedness and complexity of risk-varied climate initiatives such as green bonds (GBs), emissions trading systems (ETS) and socially responsible investments (SRI). The analysis covers the period from September 2011 to August 2022, using six indices: three representing climate initiatives and three indicating uncertainty.

To achieve this, the study first examines dynamic lead-lag relations and correlation patterns in the time-frequency domain to analyse the returns of the series. Additionally, it applies an innovative approach to investigate the predictability of uncertainty measurements of climate initiatives across various market conditions and frequency spillovers in the short, medium and long run.

The findings indicate changing relationships between the series, increased linkages during turbulent market periods and strong co-movements within the network. The ETS is recommended for diversification and hedging against uncertainty indices, whereas the GB may be suitable for long-term diversification.

This study highlights the role of climate initiatives as potential hedges and contagion amplifiers during crises, with implications for policy recommendations and the asymmetric effects on market connectedness.

The paper answers questions that previous studies have not and contributes to the literature regarding financial risk management and social responsibility.

This study examines the risk spillovers between Indonesian sectorial stocks (Energy, Basic Materials, Industrials, Consumer Cyclicals, Consumer Non-cyclical and Financials), the aggregate index (IDX) and two commodities (gold and West Texas Intermediate Crude Oil [WTI] futures).

The study uses two methodologies: the TVP-VAR model of Antonakakis and Gabauer (2017) and the quantile connectedness approach of Ando et al. (2022). The data cover the period from October 04, 2010, to April 5, 2022.

The results show that the IDX, industrials and materials are net transmitters, while the financials, consumer noncyclical and energy sectors are the dominant shock receivers. Using the quantile connectedness approach, the role of each sector is heterogeneous and asymmetric, and the return spillover is stronger at lower and higher quantiles. Furthermore, the portfolio hedging results show that oil offers more diversification gains than gold, and hedging oil is more effective during the pandemic.

This study provides valuable insights for investors to diversify their portfolios and for policymakers to develop policies, regulations and risk management tools to promote stability in the Indonesian stock market. The results can inform the design of market regulations and the development of risk management tools to ensure the stability and resilience of the market.

This study is the first to examine the spillovers between commodities and Indonesian sectors, recognizing the presence of heterogeneity in the relationship under different market conditions. It provides important portfolio diversification insights for equity investors interested in the Indonesian stock market and policymakers.

This study aims to investigate the impact of the COVID-19 pandemic on the time-frequency connectedness between green bonds, stock markets and commodities (Brent and Gold), with a particular focus on China and its implication for portfolio diversification across different frequencies.

To this end, the authors implement the frequency connectedness approach of Barunik and Krehlik (2018), followed by the network connectedness before and during the COVID-19 outbreak. In particular, the authors implement more involvement in portfolio allocation and risk management by estimating hedge ratios and hedging effectiveness for green bonds and other financial assets.

The time-frequency domain spillover results show that gold is the net transmitter of shocks to green bonds in the long run, whereas green Bonds are the net recipients of shocks, irrespective of time horizons. The subsample analysis for the pandemic crisis period shows that green bonds dominate the network connectedness dynamic, mainly because it is strongly connected with the SP500 index and China (SSE). Thus, green bonds may serve as a potential diversifier asset at different time horizons. Likewise, the authors empirically confirm that green bonds have sizeable diversification benefits and hedges for investors towards stock markets and commodity stock pairs before and during the COVID-19 outbreak for both the short and long term. Gold only offers diversification gains in the long run, while Brent does not provide the desired diversification gains. Thus, the study highlights that green bonds are only an effective diversified.

This study contributes to the existing literature by improving the understanding of the interconnectedness and hedging opportunities in short- and long-term horizons between green bonds, commodities and equity markets during the COVID-19 pandemic shock, with a particular focus on China. This study's findings provide more implications regarding portfolio allocation and risk management by estimating hedge ratios and hedging effectiveness.

The real estate markets may be significantly influenced by the uncertainty in global economic policy. This paper aims to evaluate the time-varying connectedness between global economic policy uncertainty and regional real estate markets to understand how regional real estate markets and uncertainty in global economic policy are related throughout time.

The current study includes the monthly data from April 2007 to August 2022 of major regions (i.e. Asia Pacific, Europe, Africa, North America and Latin America). Moreover, the authors use the time-varying parameter vector auto-regression (TVP-VAR) approach for the analysis.

The finding revealed a significant level of connectedness among global economic policy uncertainty and selected regional real estate markets. The result highlights more than 80% connectivity between the two variables, which makes the current study valuable. Furthermore, results determine Africa and North America are the shock transmitters; thus, they are considered safe-haven for investors to invest in these markets.

The main novelty is that this research highlights the time-varying connectedness between global economic policy uncertainty and five regional real estate markets (Africa, Asian Pacific, Europe, Latin America and North America) using TVP-VAR. Furthermore, the authors used the standard and poor daily real estate investment trust (REIT) indices for the selected REIT markets. Finally, this research suggests practical implications for real estate investors, property developers, stakeholders, policymakers and managers to revise their current policies to maintain the real estate market stability during economic and political uncertainty or in other uncertain situations.

This paper aims to examine the return and volatility transmission among economic policy uncertainty (EPU), geopolitical risk (GPR), their interaction (EPGR) and five tradable precious metals: gold, silver, platinum, palladium and rhodium.

Applying time-varying parameter vector autoregression (TVP-VAR) frequency-based connectedness approach to a data set spanning from January 1997 to February 2023, the study analyzes return and volatility connectedness separately, providing insights into how the data, in return and volatility forms, differ across time and frequency.

The results of the return connectedness show that gold, palladium and silver are affected more by EPU in the short term, while all precious metals are influenced by GPR in the short term. EPGR exhibits strong contributions to the system due to its elevated levels of policy uncertainty and extreme global risks. Palladium shows the highest reaction to EPGR, while silver shows the lowest. Return spillovers are generally time-varying and spike during critical global events. The volatility connectedness is long-term driven, suggesting that uncertainty and risk factors influence market participants’ long-term expectations. Notable peaks in total connectedness occurred during the Global Financial Crisis and the COVID-19 pandemic, with the latter being the highest.

Using the recently updated news-based uncertainty indicators, the study examines the time and frequency connectedness between key uncertainty measures and precious metals in their returns and volatility forms using the TVP-VAR frequency-based connectedness approach.

This study aims to explore the connectedness of price return index spillovers across eight economic sectors in the Malaysian stock market (Bursa Malaysia).

The analysis uses daily data of sectoral price index from 10 May 2005 to 24 February 2021. The study uses Bayesian time-varying parameter vector autoregressive.

The degree of price return index spillovers varies over time, reaching unprecedented heights during the COVID-19 pandemic in 2020. The industrial economic sector is the main transmitter of price index return shock, whereas the utilities economic sector is the dominant receiver of index return spillovers.

The findings are critical for investors, market participants, businesses and policymakers in developing action plans for the vulnerable sectors. It further enhances investors’ confidence in making investment decisions.