Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war

Babar, Maria; Ahmad, Habib; Yousaf, Imran

doi:10.1108/ijoem-02-2022-0226

Cited by 33 publications

(8 citation statements)

References 17 publications

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“…Cross-market variation was significantly evident during both crises, with specific markets experiencing varying degrees of spillover effects, underscoring the vulnerabilities and contagion dynamics unique to each market. Babar and Ahmad [41] studied spillover behavior among agricultural commodities and emerging stock markets and highlighted a significant increase in it during COVID-19 and the Russia-Ukraine crisis. These results shed light on the evolving characteristics of return spillovers in times of crisis and emphasize the importance of flexible strategies for investment and risk management.…”

Section: Resultsmentioning

confidence: 99%

Do Crises Impact Return Spillovers?: Evidence From Asia-Pacific Developed Stock Markets

2024

Journal of Southwest Jiaotong University

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The objective of the study was to investigate the dynamic return spillovers among Asia-Pacific developed stock markets during the COVID-19 pandemic and Russia-Ukraine crisis. The study utilized daily frequency data on the stock markets, spanning from March 11, 2020, to September 30, 2023, while employing the DY spillover framework. The findings highlighted significant changes in directional return spillovers during the Russia-Ukraine crisis. Furthermore, the results reveal that the total spillover index was high during the Russia-Ukraine crisis (40.66%) compared with the COVID-19 pandemic (36.01%). The stock market experienced a high level of return spillovers at the beginning of both crises. The novelty of this study lies in its application of the Diebold-Yilmaz framework in a comparative analysis of two distinct crises, thus enriching the existing literature with fresh insights into the resilience and vulnerability of financial markets under various stressors. The outcomes offer critical enlightenment for investors and policymakers, providing a strategic advantage in bolstering risk management frameworks in response to future systemic shocks.

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Section: Resultsmentioning

confidence: 99%

Do Crises Impact Return Spillovers?: Evidence From Asia-Pacific Developed Stock Markets

2024

Journal of Southwest Jiaotong University

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“…Moreover [ 23 ], investigated the return and volatility spillover dynamics between agricultural commodities and emerging stock markets during various crises, including the COVID-19 pandemic and the Russian–Ukrainian war. The authors utilized the approach proposed by Refs.…”

Section: Literature Reviewmentioning

confidence: 99%

Interconnectedness dynamic spillover among US, Russian, and Ukrainian equity indices during the COVID-19 pandemic and the Russian–Ukrainian war

Yaser Almansour,

Elkrghli,

Tellez Gaytan

et al. 2023

Heliyon

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“…Within the framework of oil markets, these shocks can materialize in the form of rapid price swings, delays in supply, or geopolitical tensions. The widespread nature of spillover effects in financial markets has been underlined in studies conducted by [3]. These studies shed light on the interconnectedness of global financial markets, illustrating how events occurring in a particular country or region can have reverberating impacts on a global scale.…”

Section: Introductionmentioning

confidence: 96%

Spillovers across the Asian OPEC+ Financial Market

Vuković,

Dekpo-Adza,

Khmelnitskiy

et al. 2023

Mathematics

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This research utilizes the Diebold and Yilmaz spillover model to examine the correlation between geopolitical events, natural disasters, and oil stock returns in Asian OPEC+ member countries. The study extends prior research by investigating the dynamics of the Asian OPEC+ oil market in light of recent exogenous events. The analysis commences by creating a self-generated Asian OPEC+ index, which demonstrates significant volatility, as indicated by GARCH (1, 1) model estimation. The results obtained from the Diebold and Yilmaz spillover test indicate that, on average, there is a moderate degree of connectedness among the variables. However, in the event of global-level shocks or shocks specifically affecting Asian OPEC+ countries, a heightened level of connectedness is found. Prominent instances of spillover events observed in the volatility analysis conducted during the previous decade include the COVID-19 pandemic, the conflict between Russia and Ukraine, and the Turkey earthquake of 2023. Based on the facts, it is recommended that investors take into account the potential risks linked to regions that are susceptible to natural calamities and geopolitical occurrences while devising their portfolios for oil stocks. The results further highlight the significance of integrating these aspects into investors’ decision-making procedures and stress the need for risk management tactics that consider geopolitical risks and natural disasters in the oil equity market.

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Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war

Cited by 33 publications

References 17 publications

Do Crises Impact Return Spillovers?: Evidence From Asia-Pacific Developed Stock Markets

Do Crises Impact Return Spillovers?: Evidence From Asia-Pacific Developed Stock Markets

Interconnectedness dynamic spillover among US, Russian, and Ukrainian equity indices during the COVID-19 pandemic and the Russian–Ukrainian war

Spillovers across the Asian OPEC+ Financial Market

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