Dynamic spillover effects and interconnectedness of DeFi assets, commodities, and Islamic stock markets during crises

Younis, Ijaz; Du, Anna Min; Gupta, Himani; Shah, Waheed Ullah

doi:10.1016/j.irfa.2024.103563

International Review of Financial Analysis

2024

DOI: 10.1016/j.irfa.2024.103563

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Dynamic spillover effects and interconnectedness of DeFi assets, commodities, and Islamic stock markets during crises

Ijaz Younis,

Anna Min Du,

Himani Gupta

et al.

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2024

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Cited by 2 publications

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How do Carbon  Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

Gupta,

Katoch

2024

Studies in Microeconomics

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Global disruptions, such as health crises and geopolitical tensions, significantly impact both climate and commodity dynamics. This study, well-grounded on environmental finance theory, input–output modelling, socio-transition philosophy and behavioural finance perspectives, explores the evolving interactions between carbon emissions (CE) and metal markets during COVID-19 pandemic and Russia–Ukraine war (RUW). The study uses time-varying parameter vector autoregressive model (TVP-VAR) technique to evaluate time and frequency varying connectedness between CE and metal markets from 3 January 2020 to 28 June 2024. During the COVID-19 pandemic, initial connectedness among selected markets peaked at 85%, averaging 46%, highlighting a significant CE–metal nexus that necessitates strategic responses. In the RUW period, connectedness averaged 47.82%. CE influence metal markets primarily in the short term. Wavelet coherence analysis reveals that palladium and platinum are highly sensitive to CE over the long term, while gold and silver may serve as effective diversifiers and hedges against carbon-related risks in metal investments. The study is relevant for investors in the metal sector with environmental considerations. JEL Classifications: G110, Q430, L720

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How do Carbon  Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

Gupta,

Katoch

2024

Studies in Microeconomics

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Evaluating Growth and Crisis Risk Dynamics of Sustainable Climate Exchange-Traded Funds

Ullah,

Liu,

Zeeshan

et al. 2024

Sustainability

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This study evaluates the dynamic risk spillovers and interconnectedness of environmental, social, and governance exchange-traded funds (ESG-ETFs) markets during two significant geopolitical conflicts, the Israel–Palestine and the Russia–Ukraine conflicts, alongside an extended analysis of the full period from July 2020 to October 2024. We investigate how crises transmit risks to the market by using the Total Connectedness Index (TCI) and net spillover measures. Our findings reveal a consistently high level of market interdependence. TCI values rose from 65.71% during the Israel–Palestine conflict to 67.28% in the full sample, indicating intensified risk sharing among markets as crises evolve. The markets “Deka MSCI World Climate Change ESG UCITS ETF (D6RP)” and “Amundi MSCI World SRI Climate Net Zero Ambition PAB UCITS ETF EUR Acc (XAMB)” emerge as prominent risk transmitters across all periods, actively spreading volatility throughout the system in both the crisis. In contrast, the markets “Amundi MSCI World Climate Transition CTB—UCITS ETF DR—EUR-C (LWCR)” and “Franklin STOXX Europe 600 Paris Aligned Climate UCITS ETF (PARI)” are primary risk receivers, absorbing a substantial portion of the instability in the Israel–Palestine and Russia–Ukraine conflicts. These dynamics underscore the shifting roles of financial markets during prolonged geopolitical tensions. These findings highlight the necessity of monitoring global markets, particularly during geopolitical shocks, to mitigate systemic risk and effectively navigate financial instability.

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Dynamic spillover effects and interconnectedness of DeFi assets, commodities, and Islamic stock markets during crises

Cited by 2 publications

References 56 publications

How do Carbon  Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

How do Carbon  Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

Evaluating Growth and Crisis Risk Dynamics of Sustainable Climate Exchange-Traded Funds

Contact Info

Product

Resources

About

Dynamic spillover effects and interconnectedness of DeFi assets, commodities, and Islamic stock markets during crises

Cited by 2 publications

References 56 publications

How do Carbon Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

How do Carbon Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

Evaluating Growth and Crisis Risk Dynamics of Sustainable Climate Exchange-Traded Funds

Contact Info

Product

Resources

About

How do Carbon  Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

How do Carbon  Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals