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