IDEAS home Printed from https://ideas.repec.org/a/kap/apfinm/v32y2025i3d10.1007_s10690-024-09482-7.html
   My bibliography  Save this article

Dynamic Spillovers Among Equity, Gold and Oil Markets During COVID and Russia-Ukraine War: Evidence from India

Author

Listed:
  • Paramita Mukherjee

    (XIM University)

  • Samaresh Bardhan

    (Indian Institute of Technology)

Abstract

The interactions among equity and commodity market prices and their volatility provide valuable information to market participants. This paper explores such dynamic interrelations in India, especially whether relationships have significantly changed with the onset of the COVID-19 pandemic and the Russia-Ukraine war of 2022. Based on a daily dataset from January 2017 to May 2022, VAR-MGARCH models and dynamic correlations are estimated with prices of gold, equity, and crude oil for spot and futures markets. Findings suggest that for gold, crude oil, and equity in spot and futures segments, there is evidence of significant persistence of volatility and spillover from past shocks. In general, volatility spillover is more pronounced in the spot than in the futures market. Evidence also indicates bi-directional spillovers between markets, but it is more prominent from the equity market to the crude oil and from crude oil to the gold market. However, the most notable finding of the study is that, like the period of the global financial crisis, the dynamic correlation between stock and crude oil markets has substantially increased during the COVID and war periods both in spot and futures markets. Also, during COVID, the property of gold acting as a hedge against stock has weakened.

Suggested Citation

  • Paramita Mukherjee & Samaresh Bardhan, 2025. "Dynamic Spillovers Among Equity, Gold and Oil Markets During COVID and Russia-Ukraine War: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(3), pages 1099-1127, September.
    • Handle: RePEc:kap:apfinm:v:32:y:2025:i:3:d:10.1007_s10690-024-09482-7
    DOI: 10.1007/s10690-024-09482-7
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10690-024-09482-7
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10690-024-09482-7?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.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

    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:kap:apfinm:v:32:y:2025:i:3:d:10.1007_s10690-024-09482-7. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.