TY - JOUR
T1 - The dynamic volatility nexus of geo-political risks, stocks, bond, bitcoin, gold and oil during COVID-19 and Russian-Ukraine war
AU - Shaik, Muneer
AU - Rabbani, Mustafa Raza
AU - Atif, Mohd
AU - Aysan, Ahmet Faruk
AU - Alam, Mohammad Noor
AU - Kayani, Umar Nawaz
N1 - Publisher Copyright:
© 2024 Public Library of Science. All rights reserved.
PY - 2024/2
Y1 - 2024/2
N2 - We investigate the dynamic volatility connectedness of geopolitical risk, stocks, bonds, bitcoin, gold, and oil from January 2018 to April 2022 in this study. We look at connectivity during the Pre-COVID, COVID, and Russian-Ukraine war subsamples. During the COVID-19 and Russian-Ukraine war periods, we find that conventional, Islamic, and sustainable stock indices are net volatility transmitters, whereas gold, US bonds, GPR, oil, and bitcoin are net volatility receivers. During the Russian-Ukraine war, the commodity index (DJCI) shifted from being a net recipient of volatility to a net transmitter of volatility. Furthermore, we discover that bilateral intercorrelations are strong within stock indices (DJWI, DJIM, and DJSI) but weak across all other financial assets. Our study has important implications for policymakers, regulators, investors, and financial market participants who want to improve their existing strategies for avoiding financial losses.
AB - We investigate the dynamic volatility connectedness of geopolitical risk, stocks, bonds, bitcoin, gold, and oil from January 2018 to April 2022 in this study. We look at connectivity during the Pre-COVID, COVID, and Russian-Ukraine war subsamples. During the COVID-19 and Russian-Ukraine war periods, we find that conventional, Islamic, and sustainable stock indices are net volatility transmitters, whereas gold, US bonds, GPR, oil, and bitcoin are net volatility receivers. During the Russian-Ukraine war, the commodity index (DJCI) shifted from being a net recipient of volatility to a net transmitter of volatility. Furthermore, we discover that bilateral intercorrelations are strong within stock indices (DJWI, DJIM, and DJSI) but weak across all other financial assets. Our study has important implications for policymakers, regulators, investors, and financial market participants who want to improve their existing strategies for avoiding financial losses.
UR - http://www.scopus.com/inward/record.url?scp=85185237117&partnerID=8YFLogxK
U2 - 10.1371/journal.pone.0286963
DO - 10.1371/journal.pone.0286963
M3 - Article
C2 - 38359034
AN - SCOPUS:85185237117
SN - 1932-6203
VL - 19
JO - PLoS ONE
JF - PLoS ONE
IS - 2 February
M1 - e0286963
ER -