Connectedness of global energy markets with global agricultural, natural resources, and socially responsible investments using extended GFI

Purpose - The study aims to investigate the risk transmission from COVID-19 to global agriculture, energy, natural resources/mining and environmentally/socially responsible investments. Additionally, it explores the connectedness of global energy indices with global agriculture, natural resources/mining and environmentally/socially responsible investments. The study develops a new COVID-19-based Global Fear Index (GFI) to achieve the objectives, thus contributing to the prevailing literature. Design/methodology/approach - The data of Global indices are selected from January 2020 to December 2021. The study uses multivariate BEKK-GARCH and TVP-VAR models to explore COVID-19 risk transmission and connectedness between global indices. Findings - Significant shock and volatility transmissions from COVID-19 to all global indices are observed. Results show that global agriculture, natural resource/mining markets and environmentally and socially responsible investments are safe havens during COVID-19. Furthermore, these global investment choices are barely connected with global energy indices. Practical implications - Portfolio managers and investors should invest in global indices to gauge the risk-adjusted return during the pandemic and upcoming health-related risks. Investors in energy sectors are advised to diversify the risk by adding safe-haven assets to their portfolios. Social implications - The findings shed light on the importance of environmentally and socially responsible investments as a separate asset class where ecologically friendly and socially sentimental investors could invest in diversifying the risk of their portfolios. Originality/value - The paper offers valuable insights to policymakers and investors regarding asset pricing, risk management and financial market stability during pandemic-type emergencies.