Extreme connectedness of agri-commodities with stock markets and its determinants

Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war

“…Uncertain events lead to a high risk in the stock markets which creates problems in the functioning, more specifically during pandemic events ( Ichev & Marinč, 2018 : Liu, Manzoor, Wang, Zhang, & Manzoor, 2020 ; Yang et al, 2020 ; Mazur, Dang, & Vega, 2021; Billah, Balli, & Hoxha, 2023 ; Billah, Amar, & Balli, 2023 ). Covid-19 crisis has witnessed negative effects on stock returns in both the developed markets and emerging markets across the world ( Al-Awadhi, Alsaifi, Al-Awadhi, & Alhammadi, 2020 ; Harjoto, Rossi, & Paglia, 2021 ; Kumar, Kaur, Tabash, Tran, & Dhankar, 2021 ; Uddin, Chowdhury, Anderson, & Chaudhuri, 2021 ).…”

“…Robustness findings are consistent with our main outcomes where TCI show high spikes during CIVID-19 and Russian-Ukraine geopolitical conflict. Previous studies have been adopted these robustness tests, such as: ( Alam et al, 2022 ; Balli, Billah, & Chowdhury, 2022 ; Billah, Balli, & Hoxha, 2023 ; Diebold & Yilmaz, 2009 , 2012 ; Diebold & Yılmaz, 2014 ).…”

A Cyclical Phenomenon among Stock & Commodity Markets

“…Access to commodity markets, either through cash transactions (spot) or futures markets (derivatives), has now become widespread, and the monetary value of commodities in financial markets today is worth trillions of dollars. Surprisingly, however, it has been only over the past two decades that investment interest in commodity markets by market observers, institutional investors, and academic researchers has increased (e.g., Bannister and Forward 2002;Beenen 2005;Rogers 2004;Fabozzi et al 2008;Zapata et al 2012;Rouwenhorst and Tang 2012;Bhardwaj et al 2015;Irwin et al 2020;Hernandez et al 2021;Billah et al 2023, among many others). One factor contributing to the paucity of adopting commodities in investor's portfolios has been driven by misconceptions surrounding commodities, such as the fact that commodities are riskier than equities, there is no relationship between equity and commodity returns, and commodity risk premiums are different from those of equities (facts which the above literature has helped demystify).…”