Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war

Purpose - This study investigate the return and volatility spillover among agricultural commodities and emerging stock markets during various crises, including the COVID-19 pandemic and the Russian-Ukrainian war. Design/methodology/approach - This return and volatility spillover is estimated using Diebold and Yilmaz (2012, 2014) approach. Findings - The results reveal the weak connectedness between agricultural commodities and emerging stock markets. Corn and sugar are the highest and lowest transmitters, respectively, whereas soya bean and coffee are the largest and smallest recipients of spillover over time. Most equity indices are the net recipient except for India, China, Indonesia, Argentina and Mexico, during the entire sample period. Most commodities are net transmitters of volatility spillover except coffee and soya bean. At the same time, major equity indices are the net recipient of the volatility spillover except for India, Indonesia, China, Argentina, Malaysia and Korea. In addition, the return and volatility spillover increase during various crises like the COVID-19 pandemic and the Russian-Ukrainian war, but the major increase in spillovers occurs during the COVID-19 pandemic. Practical implications - The empirical results show a weak relationship between agricultural commodities and emerging stock markets which is helpful for investors and portfolio managers in the construction and reallocation of their portfolios under different periods, most notably under COVID-19 and the Russian-Ukrainian war. Originality/value - It is an original paper.