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

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submitted on 2024-08-05, 06:22 and posted on 2024-08-05, 06:25 authored by Muneer Shaik, Mustafa Raza Rabbani, Mohd. Atif, Ahmet Faruk Aysan, Mohammad Noor Alam, Umar Nawaz Kayani

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.

Other Information

Published in: PLOS ONE
License: https://creativecommons.org/publicdomain/zero/1.0/
See article on publisher's website: https://dx.doi.org/10.1371/journal.pone.0286963

History

Language

  • English

Publisher

Public Library of Science (PLoS)

Publication Year

  • 2024

License statement

This Item is licensed under the Creative Commons Attribution CC0 1.0 Universal Public Domain Dedication International License.

Institution affiliated with

  • Hamad Bin Khalifa University
  • College of Islamic Studies - HBKU

Geographic coverage

Russia, Ukraine

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