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Frequency Connectedness and Portfolio Implication Between Financial, Green and Commodity Markets: A TVP-VAR Approach

Author

Listed:
  • Ben Amor Nawel

    (Laboratory of Probability and Statistics, University of Sfax, Sfax, Tunisia)

  • Ghorbel Amal

    (Laboratory of Probability and Statistics, Faculty of Economics and Management, University of Sfax, Sfax, Tunisia)

  • Bahloul Slah

    (Laboratory of Probability and Statistics, Higher Institute of Business Administration, University of Sfax, Sfax, Tunisia)

Abstract

This paper examines the dynamic connectedness and optimal hedging strategy of the global stock markets indices, commodities and green bonds. We use the novel frequency TVP-VAR method, and then we apply different portfolio construction approaches, namely MVP, MCP and MCoP, and bivariate hedge ratio. We find that stock markets are more interconnected during coronavirus pandemic and Russo-Ukraine conflict. Furthermore, empirical results suggest that the connectivity between variables depends on short-term shock transmissions. Gold act always as the largest shock receiver during periods of crisis. While Platinum and Silver are the main nets-transmitters. Our results indicate that the dynamic portfolio weights for MCP and MCoP appear to be comparable, but notably distinct from the MVP approach. In general, our findings indicate that the majority of commodities offer substantial diversification advantages compared to various stock markets, particularly during crisis periods, surpassing the benefits provided by green bonds. Most of them provide hedging benefits, particularly in comparison to the global index of developed countries and especially during stressful period.

Suggested Citation

  • Ben Amor Nawel & Ghorbel Amal & Bahloul Slah, 2026. "Frequency Connectedness and Portfolio Implication Between Financial, Green and Commodity Markets: A TVP-VAR Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 30(3), pages 321-347.
    • Handle: RePEc:bpj:sndecm:v:30:y:2026:i:3:p:321-347:n:1004
    DOI: 10.1515/snde-2024-0083
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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