How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?

This paper studies the cross-market linkages between six international stock markets and the two major cryptocurrency markets during the Covid-19 pandemic and the Russian invasion of Ukraine. By employing the local (partial) Gaussian correlation approach, we find that during the Covid-19 pandemic period, both cryptocurrency markets possess limited diversification and safe haven properties, which further diminish during the war. Bootstrap tests for contagion suggest that during the Covid-19 pandemic, the East Asian markets lead the transmission of contagion towards the two cryptocurrency markets. During the Russian invasion, the US stock market emerges as the principal transmitter of contagion. Uncovering the role of pandemic (Infectious Disease EMV Index) and geopolitical risk (GPR index) induced uncertainties, we find that under conditions of high uncertainty and falling prices, the dependency between the US and UK stock markets with both cryptocurrency markets increases considerably. The latter is more profound during the Russian-Ukrainian conflict. Our findings are useful for investors in their search for understanding the differences in asymmetric connectedness between markets during extreme events.