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Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war

Author

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  • Maria Babar
  • Habib Ahmad
  • Imran Yousaf

Abstract

Purpose - This study investigate the return and volatility spillover among agricultural commodities and emerging stock markets during various crises, including the COVID-19 pandemic and the Russian-Ukrainian war. Design/methodology/approach - This return and volatility spillover is estimated using Diebold and Yilmaz (2012, 2014) approach. Findings - The results reveal the weak connectedness between agricultural commodities and emerging stock markets. Corn and sugar are the highest and lowest transmitters, respectively, whereas soya bean and coffee are the largest and smallest recipients of spillover over time. Most equity indices are the net recipient except for India, China, Indonesia, Argentina and Mexico, during the entire sample period. Most commodities are net transmitters of volatility spillover except coffee and soya bean. At the same time, major equity indices are the net recipient of the volatility spillover except for India, Indonesia, China, Argentina, Malaysia and Korea. In addition, the return and volatility spillover increase during various crises like the COVID-19 pandemic and the Russian-Ukrainian war, but the major increase in spillovers occurs during the COVID-19 pandemic. Practical implications - The empirical results show a weak relationship between agricultural commodities and emerging stock markets which is helpful for investors and portfolio managers in the construction and reallocation of their portfolios under different periods, most notably under COVID-19 and the Russian-Ukrainian war. Originality/value - It is an original paper.

Suggested Citation

  • Maria Babar & Habib Ahmad & Imran Yousaf, 2023. "Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 19(11), pages 4049-4072, February.
    • Handle: RePEc:eme:ijoemp:ijoem-02-2022-0226
    DOI: 10.1108/IJOEM-02-2022-0226
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    Citations

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    Cited by:

    1. Amanda M. Countryman & Valentyn Litvinov & Ivan Kolodiazhnyi & Mariia Bogonos & Oleg Nivievskyi, 2025. "Global economic effects of war‐induced agricultural export declines from Ukraine," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 47(2), pages 624-665, May.
    2. Mensi, Walid & El Khoury, Rim & Al-Kharusi, Sami & Kang, Sang Hoon, 2024. "Extreme dynamic connectedness and hedging strategy across commodity, bond, currency, and stock markets: Evidence from Asian Pacific, Canada, Mexico, and US countries," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    3. Yudaruddin Rizky & Lesmana Dadang & Halil EKŞİ İbrahim & Ginn William & Tabash Mosab I., 2025. "The Red Sea Conflict and Market Reactions: Examining the Role of Military Strength in Financial Markets," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 31(2), pages 193-227.
    4. Karkowska, Renata & Urjasz, Szczepan, 2024. "Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets," Journal of Commodity Markets, Elsevier, vol. 36(C).

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