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Connectedness among various financial markets classes under Covid-19 pandemic and 2022 Russo-Ukrainian war: evidence from TVP-VAR approach

Author

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  • Mourad Mroua
  • Hejer Bouattour

Abstract

Purpose - This paper examines the time-varying return connectedness between renewable energy, oil, precious metals, the Gulf Council Cooperation region and the United States stock markets during two successive crises: the pandemic Covid-19 and the 2022 Russo-Ukrainian war. The main objective is to investigate the effect of the Covid-19 pandemic and the Russo-Ukrainian war on the connectedness between the considered stock markets. Design/methodology/approach - This paper uses the time-varying parameter vector autoregression approach, which represents an extension of the Spillover approach (Diebold and Yilmaz, 2009, 2012, 2014), to examine the time-varying connectedness among stock markets. Findings - This paper reflects the effect of the two crises on the stock markets in terms of shock transmission degree. We find that the United States and renewable energy stock markets are the main net emitters of shocks during the global period and not just during the two considered crises sub-periods. Oil stock market is both an emitter and a receiver of shocks against Gulf Council Cooperation region and United States markets during the full sample period, which may be due to price fluctuation especially during the two crises sub-periods, which suggests that the future is for renewable energy. Originality/value - This paper examines the effect of the two recent and successive crises, the Covid-19 pandemic and the 2022 Russo-Ukrainian war, on the connectedness among traditional stock markets (the United States and Gulf Council Cooperation region) and commodities stock markets (renewable energy, oil and precious metals).

Suggested Citation

  • Mourad Mroua & Hejer Bouattour, 2023. "Connectedness among various financial markets classes under Covid-19 pandemic and 2022 Russo-Ukrainian war: evidence from TVP-VAR approach," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 15(2), pages 140-163, February.
    • Handle: RePEc:eme:jfeppp:jfep-11-2022-0286
    DOI: 10.1108/JFEP-11-2022-0286
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    Citations

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    Cited by:

    1. Amel Melki & Ahmed Ghorbel, 2023. "Which Commodity Sectors Effectively Hedge Emerging Eastern European Stock Markets? Evidence from MGARCH Models," Commodities, MDPI, vol. 2(3), pages 1-19, August.
    2. Ohikhuare, Obaika M., 2023. "How geopolitical risk drives spillover interconnectedness between crude oil and exchange rate markets: Evidence from the Russia-Ukraine war," Resources Policy, Elsevier, vol. 86(PB).

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