Asset Connectedness in Times of Crisis: Bitcoin, Commodities, and GCC Stock Markets During the COVID-19 Pandemic and the Russia–Ukraine War
DOI:
https://doi.org/10.54489/ijtim.v5i2.540Keywords:
Connectedness; GCC Stock Markets, Bitcoin; Gold, Crude Oil, Wheat, Health Crisis, Geopolitical Crisis, Spillover Effects, Safe HavenAbstract
This study investigates the dynamic connectedness among stock markets of the Gulf Cooperation Council (GCC) countries, key commodities (WTI crude oil, natural gas, wheat, and gold), and Bitcoin over the period from January 2016 to November 2022. To capture crisis-specific dynamics, the sample is divided into three sub-periods: the pre-crisis baseline (2016–2019), the COVID-19 pandemic (2020–2021), and the Russia–Ukraine war (2022). Using a time-varying parameter connectedness framework, we analyze how health and geopolitical shocks alter spillover patterns, volatility transmission, and the roles of assets as net transmitters or receivers of shocks. Our findings reveal that the Russia–Ukraine war exerted a significantly stronger impact on GCC equity markets than the pandemic, triggering sharper declines in returns and heightened volatility. While financial markets exhibited pronounced interdependence during both crises, international stock indices displayed greater instability compared to commodity markets. Notably, the roles of Bitcoin and gold evolved across crises: during the pandemic, they showed limited integration with GCC markets, but during the war, both assets became active participants in shock transmission—gold transitioning into a net transmitter and Bitcoin reinforcing its dual nature as both a risk amplifier and a conditional diversifier. These results carry important implications for portfolio management and financial policy. Certain commodities, particularly gold, demonstrate context- dependent safe-haven properties, offering effective hedging opportunities during geopolitical turmoil but not necessarily during health crises. For investors, this underscores the need for crisis-aware allocation strategies. From a policy perspective, GCC authorities should integrate dynamic connectedness monitoring into systemic risk frameworks and adapt regulatory responses to the nature of the underlying shock—whether health-related or geopolitical.
References
Abuzayed, B., & Al-Fayoumi, N. (2021b). Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. The North American Journal of Economics and Finance, 58, 101476.
Al-Maadid, A., Alhazbi, S., & Al-Thelaya, K. (2022). Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries. Research in International Business and Finance, 61, 101667.
Al-Yahyaee, K. H., Mensi, W., Sensoy, A., & Kang, S. H. (2019). Energy, precious metals, and GCC stock markets: Is there any risk spillover?. Pacific-Basin Finance Journal, 56, 45-70.
Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International money and finance, 30(7), 1387-1405.
Awartani, B., & Maghyereh, A. I. (2013). Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. Energy Economics, 36, 28-42.
Azar, S. A., & Basmajian, L. (2013). Oil prices and the Kuwaiti and the Saudi stock markets: The contrast. International Journal of Economics and Financial Issues, 3(2), 294-304.
Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235-247.
Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil prices, exchange rates and emerging stock markets. Energy economics, 34(1), 227-240.
Będowska-Sójka, B., & Kliber, A. (2021). Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether. The North American Journal of Economics and Finance, 56, 101390.
Bejaoui, A., Frikha, W., Jeribi, A., Bariviera, A.F., 2023, Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis, Physica A: Statistical Mechanics and its Applications, 619, 128720, https://doi.org/10.1016/j.physa.2023.128720.
Billio, M., Donadelli, M., Paradiso, A., & Riedel, M. (2017). Which market integration measure?. Journal of Banking & Finance, 76, 150-174.
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017b). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 20, 192-198.
Charfeddine, L., Al Refai, H., (2019), Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises, The North American Journal of Economics and Finance, Vol 50, 101032.
Chemkha, R., BenSaïda, A., Ghorbel, A., & Tayachi, T. (2021). Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold. The Quarterly Review of Economics and Finance, 82, 71-85.
Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: an examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
Clapp, J., & Moseley, W. G. (2020). This food crisis is different: COVID-19 and the fragility of the neoliberal food security order. The Journal of Peasant Studies, 47(7), 1393-1417.
Dai, Z., Zhu, H., & Zhang, X. (2022). Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle. Energy Economics, 109, 105959.
Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.
Diebold, F. X., & Yılmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of econometrics, 182(1), 119-134.
Elleby, C., Domínguez, I. P., Adenauer, M., & Genovese, G. (2020). Impacts of the COVID-19 pandemic on the global agricultural markets. Environmental and Resource Economics, 76(4), 1067-1079.
Frikha, W., Brahim, M., Jeribi, A., & Lahiani, A. (2023). COVID-19, Russia-Ukraine war and interconnectedness between stock and crypto markets: a wavelet-based analysis. Journal of Business Analytics, 1-21.
Ghorbel, A., Jeribi, A. (2021). Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period. Eurasian Economic Review . 11, 449-467. https://doi.org/10.1007/s40822-021-00181-6.
Gutierrez, L., Pierre, G., & Sabbagh, M. (2022). Agricultural Grain Markets in the COVID-19 Crisis, Insights from a GVAR Model. Sustainability, 14(16), 9855.
Hung, N. T., & Vo, X. V. (2021). Directional spillover effects and time-frequency nexus between oil, gold and stock markets: evidence from pre and during COVID-19 outbreak. International Review of Financial Analysis, 76, 101730.
Jouini, J., & Harrathi, N. (2014). Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation. Economic Modelling, 38, 486-494.
Kang, S., Hernandez, J. A., Sadorsky, P., & McIver, R. (2021). Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs. Energy Economics, 99, 105278.
Kayral, I, E., Jeribi, A., Loukil, S.,( 2023). Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?, Journal of Risk and Financial Management 16 (4), 222, https://doi.org/10.3390/jrfm16040222.
Loukil, S., Aloui, M., Jeribi, A., Jarboui, A., (2021), Are digital assets backstop for GCC stock markets in COVID-19 led financial crisis?, International Journal of Electronic Finance, 10 (4), 232-259 https://www.inderscience.com/info/ingeneral/forthcoming.php?jcode=ijef
Madani, M. A., & Ftiti, Z. (2022). Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach. Annals of Operations Research, 313(1), 367-400.
Maghyereh, A.I., Awartani, B., Tziogkidis, P., (2017). Volatility spillovers and cross-hedging between gold, oil and equities: evidence from the Gulf Cooperation Council countries. Energy Econ. 68, 440–453.
Mollick, A. V., & Sakaki, H. (2019). Exchange rates, oil prices and world stock returns. Resources Policy, 61, 585-602.
Musa, K. S., Maijama’a, R., Mohammed, N., & Yakubu, M. (2020). COVID-19 pandemic, oil price slump and food crisis nexus: an application of ARDL approach. Open Access Library Journal, 7(6), 1-19.
Mzoughi, H., Urom, C., Uddin, G. S., & Guesmi, K. (2020). The effects of COVID-19 pandemic on oil prices, CO 2 emissions and the stock market: Evidence from a VAR model.
Poudel, P. B., Poudel, M. R., Gautam, A., Phuyal, S., Tiwari, C. K., Bashyal, N., & Bashyal, S. (2020). COVID-19 and its global impact on food and agriculture. Journal of Biology and Today’s World, 9(5), 221-225.
Prabheesh, K. P., Garg, B., & Padhan, R. (2020). Time-varying dependence between stock markets and oil prices during COVID-19: The case of net oil-exporting countries. Economics Bulletin, 40(3), 2408-2418.
Ramakumar, R. (2020). Agriculture and the Covid-19 Pandemic: An Analysis with special reference to India. Review of Agrarian Studies, 10(2369-2020-1856).
Salisu, A. A., Ebuh, G. U., & Usam, U. (2020). Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results. International Review of Economics & Finance, 69, 280–294.
Schmidhuber, J., Pound, J., & Qiao, B. (2020). COVID-19: Channels of transmission to food and agriculture. Covid.
Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities?. International Review of Financial Analysis, 63, 322-330.
Shahzad, S. J. H., Mensi, W., Hammoudeh, S., Sohail, A., & Al-Yahyaee, K. H. (2019). Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in-quantiles approaches. Resources Policy, 62, 602-615.
Smales, L. A. (2019). Bitcoin as a safe haven: Is it even worth considering?. Finance Research Letters, 30, 385-393.
Trabelsi, N. (2017). Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System. The Journal of Economic Asymmetries, 16, 26-41.
Trabelsi, N., (2017). Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach. Borsa Istanbul Rev. 17, 228–237.
Wang, J., Shao, W., & Kim, J. (2020). Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures. Chaos, Solitons & Fractals, 136, 109896.
Wen, F., Tong, X., & Ren, X. (2022). Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?. International Review of Financial Analysis, 81, 102121.
Wen, F., Zhang, M., Deng, M., Zhao, Y., & Ouyang, J. (2019). Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model. Physica A: Statistical Mechanics and its Applications, 532, 121881.
Downloads
Published
Issue
Section
How to Cite
