IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v131y2024ics0140988324000379.html

Evaluating the dynamic connectedness of financial assets and bank indices during black-swan events: A Quantile-VAR approach

Author

Listed:
  • Kyriazis, Nikolaos
  • Corbet, Shaen

Abstract

This study examines whether precious metals, industrial metals, energy and agricultural commodities, or cryptocurrencies form trustworthy safe havens against extreme price volatility of major global bank stock indices during black-swan events such as the COVID-19 pandemic and the Russia–Ukraine conflict. Using daily data and applying Quantile-VAR dynamic pairwise and extended joint connectedness methodologies, we investigate dynamic connectedness between major financial assets and major bank indices during exceptional crises. Findings provide evidence that crude oil and both Ethereum and Bitcoin present evidence of propagating significant shocks towards bank stock indices during crises, but other large-cap cryptocurrencies present no evidence of any specific influence. Further, gold, natural gas, and wheat are identified as the main absorbers of spillovers from banking indices during analysed crises, with more pronounced effects identified during exceptional phases of volatility. Such findings suggest that risk in the banking sector can be efficiently hedged by traditional safe havens such as gold and counterbalanced by highly outperforming assets such as natural gas and wheat. The study significantly contributes to understanding the interplay between banking sectors and various financial assets during crises and the subsequent strategies available for managing systemic risks, providing valuable insights for policymakers, regulators, and investors alike.

Suggested Citation

  • Kyriazis, Nikolaos & Corbet, Shaen, 2024. "Evaluating the dynamic connectedness of financial assets and bank indices during black-swan events: A Quantile-VAR approach," Energy Economics, Elsevier, vol. 131(C).
    • Handle: RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000379
    DOI: 10.1016/j.eneco.2024.107329
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988324000379
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2024.107329?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
    2. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    3. Lei Li & Philip E Strahan & Song Zhang, 2020. "Banks as Lenders of First Resort: Evidence from the COVID-19 Crisis," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 9(3), pages 472-500.
    4. Florian Heider & Farzad Saidi & Glenn Schepens, 2019. "Life below Zero: Bank Lending under Negative Policy Rates," The Review of Financial Studies, Society for Financial Studies, vol. 32(10), pages 3728-3761.
    5. Salisu, Afees A. & Raheem, Ibrahim D. & Vo, Xuan Vinh, 2021. "Assessing the safe haven property of the gold market during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 74(C).
    6. Barry Eichengreen, 2023. "Financial regulation in the age of the platform economy," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(1), pages 40-50, March.
    7. Huang, Yingying & Duan, Kun & Urquhart, Andrew, 2023. "Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    8. Demirer, Rıza & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2020. "Oil price shocks, global financial markets and their connectedness," Energy Economics, Elsevier, vol. 88(C).
    9. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    10. Chaudron, Raymond F.D.D., 2018. "Bank's interest rate risk and profitability in a prolonged environment of low interest rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 94-104.
    11. Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
    12. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2022. "Did COVID-19 tourism sector supports alleviate investor fear?," Annals of Tourism Research, Elsevier, vol. 95(C).
    13. Boungou, Whelsy, 2021. "Empirical evidence of the lending channel of monetary policy under negative interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 309-318.
    14. Kim Oosterlinck, 2017. "Art as a Wartime Investment: Conspicuous Consumption and Discretion," Economic Journal, Royal Economic Society, vol. 127(607), pages 2665-2701, December.
    15. Ivan Gržeta & Saša Žiković & Ivana Tomas Žiković, 2023. "Size matters: analyzing bank profitability and efficiency under the Basel III framework," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    16. Almaqableh, Laith & Reddy, Krishna & Pereira, Vijay & Ramiah, Vikash & Wallace, Damien & Francisco Veron, Jose, 2022. "An investigative study of links between terrorist attacks and cryptocurrency markets," Journal of Business Research, Elsevier, vol. 147(C), pages 177-188.
    17. Lei Li & Philip E. Strahan & Song Zhang, 2020. "Banks as Lenders of First Resort: Evidence from the COVID-19 Crisis," NBER Working Papers 27256, National Bureau of Economic Research, Inc.
    18. Schelling, Tan & Towbin, Pascal, 2022. "What lies beneath—Negative interest rates and bank lending," Journal of Financial Intermediation, Elsevier, vol. 51(C).
    19. Su, Chi-Wei & Wang, Xiao-Qing & Zhu, Haotian & Tao, Ran & Moldovan, Nicoleta-Claudia & Lobonţ, Oana-Ramona, 2020. "Testing for multiple bubbles in the copper price: Periodically collapsing behavior," Resources Policy, Elsevier, vol. 65(C).
    20. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
    21. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Adewuyi, Adeolu O. & Lee, Chien-Chiang, 2022. "Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak," Energy Economics, Elsevier, vol. 113(C).
    22. Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, vol. 75(C), pages 14-27.
    23. Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).
    24. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    25. Corbet, Shaen & Cumming, Douglas J. & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "Have crisis-induced banking supports influenced European bank performance, resilience and price discovery?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    26. Grandi, Pietro & Guille, Marianne, 2023. "Banks, deposit rigidity and negative rates," Journal of International Money and Finance, Elsevier, vol. 133(C).
    27. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 307-317.
    28. Dang, Van Dan & Nguyen, Hoang Chung, 2022. "Bank profitability under uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 119-134.
    29. Gauti B Eggertsson & Ragnar E Juelsrud & Lawrence H Summers & Ella Getz, 2024. "Negative Nominal Interest Rates and the Bank Lending Channel," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(4), pages 2201-2275.
    30. Deng, Jing & Xu, Zihan & Xing, Xiaoyun, 2023. "Dynamic spillovers between clean energy and non-ferrous metals markets in China: A network-based analysis during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 83(C).
    31. Assaf, A. George & Berger, Allen N. & Roman, Raluca A. & Tsionas, Mike G., 2019. "Does efficiency help banks survive and thrive during financial crises?," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 445-470.
    32. Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    33. Papadamou, Stephanos & Kyriazis, Nikolaos A. & Tzeremes, Panayiotis & Corbet, Shaen, 2021. "Herding behaviour and price convergence clubs in cryptocurrencies during bull and bear markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    34. Dimitrios Koutmos & Timothy King & Constantin Zopounidis, 2021. "Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 815-837, December.
    35. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
    36. Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018. "Commodity Connectedness," Central Banking, Analysis, and Economic Policies Book Series, in: Enrique G. Mendoza & Ernesto Pastén & Diego Saravia (ed.),Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures, edition 1, volume 25, chapter 4, pages 097-136, Central Bank of Chile.
    37. Wang, Teng, 2021. "Local banks and the effects of oil price shocks," Journal of Banking & Finance, Elsevier, vol. 125(C).
    38. Fletcher, Emily & Larkin, Charles & Corbet, Shaen, 2021. "Countering money laundering and terrorist financing: A case for bitcoin regulation," Research in International Business and Finance, Elsevier, vol. 56(C).
    39. Koutmos, Dimitrios, 2018. "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 122-127.
    40. Gric, Zuzana & Ehrenbergerova, Dominika & Hodula, Martin, 2022. "The power of sentiment: Irrational beliefs of households and consumer loan dynamics," Journal of Financial Stability, Elsevier, vol. 59(C).
    41. Mensi, Walid & Hernandez, Jose Arroeola & Yoon, Seong-Min & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor," International Review of Financial Analysis, Elsevier, vol. 74(C).
    42. Mensi, Walid & Yousaf, Imran & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    43. Wenjun Feng & Yiming Wang & Zhengjun Zhang, 2018. "Can cryptocurrencies be a safe haven: a tail risk perspective analysis," Applied Economics, Taylor & Francis Journals, vol. 50(44), pages 4745-4762, September.
    44. Zaghum Umar & Francisco Jareño & Ana Escribano, 2022. "Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1030-1054, February.
    45. Berger, Allen N. & Demirgüç-Kunt, Asli, 2021. "Banking research in the time of COVID-19," Journal of Financial Stability, Elsevier, vol. 57(C).
    46. Kim Oosterlinck, 2017. "Art as a Wartime Investment: Conspicuous Consumption and Discretion," Economic Journal, Royal Economic Society, vol. 127(607), pages 2665-2701, December.
    47. Caglayan, Mustafa & Xu, Bing, 2016. "Sentiment volatility and bank lending behavior," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 107-120.
    48. Ashok, Shruti & Corbet, Shaen & Dhingra, Deepika & Goodell, John W. & Kumar, Satish & Yadav, Miklesh Prasad, 2022. "Are energy markets informationally smarter than equity markets? Evidence from the COVID-19 experience," Finance Research Letters, Elsevier, vol. 47(PB).
    49. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
    50. David Gabauer, 2020. "Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 788-796, August.
    51. Beneki, Christina & Koulis, Alexandros & Kyriazis, Nikolaos A. & Papadamou, Stephanos, 2019. "Investigating volatility transmission and hedging properties between Bitcoin and Ethereum," Research in International Business and Finance, Elsevier, vol. 48(C), pages 219-227.
    52. Hodula, Martin & Libich, Jan, 2023. "Has monetary policy fueled the rise in shadow banking?," Economic Modelling, Elsevier, vol. 123(C).
    53. Stephanos Papadamou & Costas Siriopoulos & Nikolaos A. Kyriazis, 2020. "A survey of empirical findings on unconventional central bank policies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 47(7), pages 1533-1577, April.
    54. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
    55. Papadamou, Stephanos & Kyriazis, Nikolaos A. & Tzeremes, Panayiotis G., 2021. "Non-linear causal linkages of EPU and gold with major cryptocurrencies during bull and bear markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    56. Molyneux, Philip & Reghezza, Alessio & Xie, Ru, 2019. "Bank margins and profits in a world of negative rates," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    57. Cubillas, Elena & Ferrer, Elena & Suárez, Nuria, 2021. "Does investor sentiment affect bank stability? International evidence from lending behavior," Journal of International Money and Finance, Elsevier, vol. 113(C).
    58. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    59. Ahmet Sensoy & Thiago Christiano Silva & Shaen Corbet & Benjamin Miranda Tabak, 2021. "High-frequency return and volatility spillovers among cryptocurrencies," Applied Economics, Taylor & Francis Journals, vol. 53(37), pages 4310-4328, August.
    60. Yoshino, Naoyuki & Taghizadeh-Hesary, Farhad & Otsuka, Miyu, 2021. "Covid-19 and Optimal Portfolio Selection for Investment in Sustainable Development Goals," Finance Research Letters, Elsevier, vol. 38(C).
    61. Shaen Corbet & Les Oxley, 2023. "Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking," Review of Corporate Finance, now publishers, vol. 3(4), pages 487-528, September.
    62. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "High frequency volatility co-movements in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 35-52.
    63. Just, Małgorzata & Echaust, Krzysztof, 2022. "Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?," Economics Letters, Elsevier, vol. 217(C).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Akyildirim, Erdinc & Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg), 2024. "HACKED: Understanding the stock market response to cyberattacks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
    2. Le, Thai Hong & Pham, Dat Thanh & Le, Khanh Ngoc & Le, Anh Chi & Nguyen, Huong Mai Thi, 2026. "Mapping information flows among digital assets: An entropy and network-based study of cryptocurrencies, DeFi, and NFTs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 681(C).
    3. Salha Ben Salem & Ahmed Jeribi, 2025. "The nexus of blue economy, green finance, and energy commodities: A quantile VAR approach," Modern Finance, Modern Finance Institute, vol. 3(2), pages 96-119.
    4. Dimitriadis, Konstantinos A. & Koursaros, Demetris & Savva, Christos S., 2024. "Evaluating the sophisticated digital assets and cryptocurrencies capacities of substituting international currencies in inflationary eras," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    5. Bagh, Tanveer & Hunjra, Ahmed Imran & Corbet, Shaen, 2025. "The impact of corporate governance on firm value: Understanding the role of strategic change," International Review of Economics & Finance, Elsevier, vol. 103(C).
    6. OlaOluwa S. Yaya & Derick D. Quintino & Cristiane M. Ogino & Olanrewaju I. Shittu & Dora M. F. Almeida & Paulo J. S. Ferreira, 2025. "Volatility interdependencies of cryptocurrencies, gold, oil, and US stocks: quantile connectedness analysis with intraday data," SN Business & Economics, Springer, vol. 5(1), pages 1-30, January.
    7. Nur Ain Shahrier & Zaheer Anwer & Milena Migliavacca, 2025. "Horizon Dynamics of Systemic Risk in Global Energy Firms," Working Papers wp59, South East Asian Central Banks (SEACEN) Research and Training Centre, revised Nov 2025.
    8. Chen, Shi & Duan, Xiaoyu & Chiu, Shiu-Chieh & Lin, Jyh-Horng, 2024. "Insurer hedging amidst the interplay of black and green swans toward SDGs 3 and 7," Energy Economics, Elsevier, vol. 135(C).
    9. Gao, Wang & Jin, Xiaoman & Zhang, Hongwei & He, Miao, 2025. "The asymmetric response of higher-order moments of precious metals to energy shocks and financial stresses: Evidence from time-frequency connectedness approach," Energy Economics, Elsevier, vol. 142(C).
    10. Waheed Ullah Shah & Ibtissem Missaoui & Ijaz Younis & Xiyu Liu, 2025. "Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1278-1297, September.
    11. Tripathi, Abhinava & Jha, Ravi Raushan & Vadhava, Charu, 2025. "A critique of the inappropriate interpretation of the quantile connectedness approach by Ando et al. (2022)," Energy Economics, Elsevier, vol. 143(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kyriazis, Nikolaos A. & Papadamou, Stephanos & Tzeremes, Panayiotis, 2023. "Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?," Economic Modelling, Elsevier, vol. 128(C).
    2. Kyriazis, Nikolaos & Corbet, Shaen, 2025. "Understanding the connectedness between US traditional assets and green cryptocurrencies during crises," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
    3. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2024. "Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis," Journal of Commodity Markets, Elsevier, vol. 33(C).
    4. Lang, Chunlin & Hu, Yang & Corbet, Shaen & Hou, Yang (Greg), 2024. "Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    5. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
    6. Wang, Wei & Enilov, Martin & Stankov, Petar, 2025. "Can cryptocurrency or gold rescue BRICS stocks amid the Russia-Ukraine conflict?," International Review of Financial Analysis, Elsevier, vol. 104(PA).
    7. Akyildirim, Erdinc & Corbet, Shaen & Coskun, Ali & Ercan, Metin, 2025. "Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    8. Tang, Mengxuan & Hu, Yang & Corbet, Shaen & Hou, Yang (Greg) & Oxley, Les, 2024. "Fintech, bank diversification and liquidity: Evidence from China," Research in International Business and Finance, Elsevier, vol. 67(PA).
    9. Dimitriadis, Konstantinos A. & Koursaros, Demetris & Savva, Christos S., 2025. "Exploring the dynamic nexus of traditional and digital assets in inflationary times: The role of safe havens, tech stocks, and cryptocurrencies," Economic Modelling, Elsevier, vol. 151(C).
    10. Νikolaos A. Kyriazis, 2021. "Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic," SN Business & Economics, Springer, vol. 1(4), pages 1-12, April.
    11. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 307-317.
    12. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    13. Yousfi, Mohamed & Farhani, Ramzi & Bouzgarrou, Houssam, 2024. "From the pandemic to the Russia–Ukraine crisis: Dynamic behavior of connectedness between financial markets and implications for portfolio management," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1178-1197.
    14. Shaen Corbet & Yang Hou & Yang Hu & Les Oxley, 2024. "Time varying risk aversion and its connectedness: evidence from cryptocurrencies," Annals of Operations Research, Springer, vol. 338(2), pages 879-923, July.
    15. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    16. Sultan Sikandar Mirza & Fan Zheng Yi & Frank Scrimgeour & Shaen Corbet, 2025. "Green finance and technological innovation: enhancing carbon emission control in China," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 30(6), pages 1-27, August.
    17. Hu, Yang & Lang, Chunlin & Corbet, Shaen & Wang, Junchuan, 2024. "The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector," Research in International Business and Finance, Elsevier, vol. 68(C).
    18. Abildgren, Kim & Kuchler, Andreas, 2023. "Firm behaviour under negative deposit rates," European Economic Review, Elsevier, vol. 151(C).
    19. Zhang, Yulian & Hamori, Shigeyuki, 2025. "Portfolio implications based on quantile connectedness among cryptocurrency, stock, energy, and safe-haven assets," Journal of Commodity Markets, Elsevier, vol. 39(C).
    20. Ramesh, Shietal & Low, Rand Kwong Yew & Faff, Robert, 2025. "Corrigendum to “Modelling time-varying volatility spillovers across crises: Evidence from major commodity futures and the US stock market” [Energy Economics Volume 143, March 2025, 108225]," Energy Economics, Elsevier, vol. 147(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000379. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.