The impacts of the Russia–Ukraine invasion on global markets and commodities: a dynamic connectedness among G7 and BRIC markets
The conflict between Russia and Ukraine has been causing knock-on effects worldwide. The
supply and price of major commodity markets (oil, gas, platinum, gold, and silver) have been …
supply and price of major commodity markets (oil, gas, platinum, gold, and silver) have been …
COVID–19 media coverage and ESG leader indices
This study examines the dynamic connectedness between COVID–19 media coverage
index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in …
index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in …
Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19
H Zhang, J Chen, L Shao - International Review of Financial Analysis, 2021 - Elsevier
This study combined time-varying parameter vector autoregression (TVP-VAR) and a
spillover index model to analyze the static, total, and net spillover effects of energy and stock …
spillover index model to analyze the static, total, and net spillover effects of energy and stock …
[HTML][HTML] Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic
In this study, we present the evidence of dramatic changes in the structure and time-varying
patterns of volatility connectedness across equities and major commodities (oil, gold, silver …
patterns of volatility connectedness across equities and major commodities (oil, gold, silver …
Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time-and frequency-domain …
Understanding the interactions among climate change, carbon emission allowance trading,
crude oil and renewable energy stock markets, especially the role of climate change in this …
crude oil and renewable energy stock markets, especially the role of climate change in this …
The connectedness of oil shocks, green bonds, sukuks and conventional bonds
We analyze the impact of oil price shocks on three unique fixed income asset classes
representing conventional bonds, Islamic bonds (sukuks) and green bonds by employing …
representing conventional bonds, Islamic bonds (sukuks) and green bonds by employing …
Extreme spillovers across Asian-Pacific currencies: a quantile-based analysis
Abstract The Asia-Pacific region remains understudied regarding return connectedness
among exchange rate markets. Furthermore, previous studies mostly use average-based …
among exchange rate markets. Furthermore, previous studies mostly use average-based …
Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications
This paper examines the time-frequency spillovers and connectedness between the major
precious metals futures markets (gold, palladium, platinum, and silver), the West Texas …
precious metals futures markets (gold, palladium, platinum, and silver), the West Texas …
[HTML][HTML] Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors
This study investigates the asymmetric connectedness and spillover effects between two
ethical fixed-income assets (Sukuk and green bonds) with regard to global risk factors using …
ethical fixed-income assets (Sukuk and green bonds) with regard to global risk factors using …
Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US
In this paper, we explore the dynamics of the return connectedness among major commodity
assets (crude oil, gold and corn) and financial assets (stock, bond and currency) in China …
assets (crude oil, gold and corn) and financial assets (stock, bond and currency) in China …