Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war
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Date
2023-11
Open Access Location
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Inc
Rights
(c) The author/s
CC BY-NC-ND
CC BY-NC-ND
Abstract
Economic and political disorders have multidimensional impacts on all economies around the world. The global world has faced out COVID-19 pandemic in 2020, and now the Russian-Ukraine geopolitical crisis. This study investigates the nexus among commodities, crypto, and G20 capital markets along with risk and returns implications. To examine the impact, we applied the TVP-VAR technique suggested by Koop and Korobilis (2014), and Antonakakis, Chatziantoniou, and Gabauer (2020) by adjusting the framework of Diebold and Yilmaz (2012). The research findings reveal that a high level of connectedness was observed during Covid-19, which was persistent for a long period and has multidimensional impacts. More particularly, EU, Canada, France Germany, and the UK were the principal supplier of spillovers to other commodities, Bitcoin, and the remaining markets. During Geopolitical Crisis (here after GPC), conclusively it is observed that of USA, Brazil, Saudi Arabia, Canada, Mexico, China, Indonesia, and Japan are the net receivers of the volatility spillovers and Russia, Germany, France, European Union, Italy, UK, Argentina, India, Australia, Turkey, Korea, and South Africa are the net transmitters of volatility spillovers. Interestingly, among net transmitters Argentina, South Africa and Turkey are suffered from high inflation and substantial budget deficits, considered as weak economies of G20. Portfolio weights has been increased dramatically during COVID-19 and Russian-Ukraine war. This research could be utilized to take investment, hedging, and diversification decisions about commodities, cryptocurrencies, and stocks, particularly in such turmoil situations with the help of connectedness and various hedging techniques.
Description
Keywords
COVID-19, Russian-Ukraine war, G20, Bitcoin, Connectedness, TVP-VAR
Citation
Kumar S, Jain R, Narain , Balli F, Billah M. (2023). Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war. International Review of Economics and Finance. 88. (pp. 547-593).