The dynamic volatility nexus of geo-political risks, stocks, bond, bitcoin, gold and oil during COVID-19 and Russian-Ukraine war

被引：4

作者：

Shaik, Muneer ^{[1
]}

Rabbani, Mustafa Raza ^{[2
]}

Atif, Mohd. ^{[3
]}

Aysan, Ahmet Faruk ^{[4
]}

Alam, Mohammad Noor ^{[5
]}

Kayani, Umar Nawaz ^{[6
]}

机构：

[1] Mahindra Univ, Sch Management, Hyderabad, Telangana, India

[2] Univ Khorfakkan, Coll Business Adm, Sharjah, U Arab Emirates

[3] Jamia Milia Islamia, Dept Commerce & Business Studies, New Delhi, India

[4] Hamad Bin Khalifa Univ, Qatar Fdn, Coll Islamic Studies, Doha, Qatar

[5] Univ Bahrain, Coll Business Adm, Dept Accounting, Sakhir, Bahrain

[6] Al Ain Univ, Coll Business, Abu Dhabi, U Arab Emirates

来源：

PLOS ONE | 2024年 / 19卷 / 02期

关键词：

UNCERTAINTY; CONNECTEDNESS;

D O I：

10.1371/journal.pone.0286963

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

We investigate the dynamic volatility connectedness of geopolitical risk, stocks, bonds, bitcoin, gold, and oil from January 2018 to April 2022 in this study. We look at connectivity during the Pre-COVID, COVID, and Russian-Ukraine war subsamples. During the COVID-19 and Russian-Ukraine war periods, we find that conventional, Islamic, and sustainable stock indices are net volatility transmitters, whereas gold, US bonds, GPR, oil, and bitcoin are net volatility receivers. During the Russian-Ukraine war, the commodity index (DJCI) shifted from being a net recipient of volatility to a net transmitter of volatility. Furthermore, we discover that bilateral intercorrelations are strong within stock indices (DJWI, DJIM, and DJSI) but weak across all other financial assets. Our study has important implications for policymakers, regulators, investors, and financial market participants who want to improve their existing strategies for avoiding financial losses.

引用

页数：16

共 8 条

[1] Impact of geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian - Ukraine War
Shaik, Muneer
Jamil, Syed Ahsan
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[J]. COGENT ECONOMICS & FINANCE, 2023, 11 (01):
[2] Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war
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[J]. RESOURCES POLICY, 2023, 85
[3] Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war
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[4] The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models
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[J]. FINANCIAL INNOVATION, 2024, 10 (01)
[5] The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models
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Mohammad Mahdi Rounaghi
[J]. Financial Innovation, 10
[6] Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak
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[J]. RESOURCES POLICY, 2021, 74
[7] Market volatility and crisis dynamics: a comprehensive analysis of U.S., China, India, and Pakistan stock markets with oil and gold interconnections during COVID-19 and Russia–Ukraine war periods
Muhammad Niaz Khan
[J]. Future Business Journal, 10
[8] Market volatility and crisis dynamics: a comprehensive analysis of U.S., China, India, and Pakistan stock markets with oil and gold interconnections during COVID-19 and Russia-Ukraine war periods
Khan, Muhammad Niaz
[J]. FUTURE BUSINESS JOURNAL, 2024, 10 (01)

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