Risk spillover effects of the Israel–Hamas War on global financial and commodity markets: A time–frequency and network analysis

Zi-Luo Lin, Wen-Pei Ouyang and Qing-Rui Yu

Finance Research Letters, 2024, vol. 66, issue C

Abstract: This paper uses TVP-VAR dynamic spillover method and spectral clustering algorithms to explore the impact of the Israel–Hamas war on the risk contagion in global financial and commodity markets. The war markedly intensified the overall risk spillover, with short-term impacts surpassing long-term effects. The static risk spillover and dynamic spillovers characteristics exhibited marked changes, but the directional risk spillovers in the time domain and the net risk level for each asset reacted differently. There was a significant shift in the global market’s community divisions and net spillover patterns networks, which changed the way risk spreads between the global financial market.

Keywords: The Israel–Hamas war; Global financial markets; Global commodity markets; Risk association (search for similar items in EconPapers)
JEL-codes: F12 G15 Q02 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324006482
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006482

DOI: 10.1016/j.frl.2024.105618

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().