2024
DOI: 10.1108/jrf-02-2023-0030
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Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence

Amine Ben Amar,
Amir Hasnaoui,
Nabil Boubrahimi
et al.

Abstract: PurposeThis study aims to elucidate the volatility spillovers among commodities, equities and socially responsible investments, underpinning their dynamic correlations during the economic instability wrought by the COVID-19 pandemic and associated financial crises.Design/methodology/approachThis research quantitatively analyzes volatility transmission across various financial assets from January 2005 to October 2020 by employing the Diebold and Yilmaz (2012) spillover index. The methodology incorporates a temp… Show more

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