Assessing the Impact of Geopolitical Crises on Global Financial Markets: Insights from the Novel TVP-VAR Model

Khan Muhammad Niaz ()
Additional contact information
Khan Muhammad Niaz: Institute of Management Sciences, University of Science & Technology Bannu, Pakistan, Postal: Assistant Professor, Institute of Management Sciences, University of Science & Technology Bannu, Bannu, KPK, Pakistan.

Journal of Economic Integration, 2025, vol. 40, issue 1, 29-52

Abstract: The aim of this study is to examine the impact of the recent geopolitical crisis on global equity, commodity, and cryptocurrency markets over the period from January, 2021 to December 2023. Based on the TVP-VAR, this study examines the dynamic connectedness among the variables of interest. The results revealed an increase in volatility connectedness among the markets during the crisis periods compared to the period before crisis. The equity market indices served as the main transmitters of volatility, while the commodity markets were the net receivers. In addition, bitcoins served as risk transmitters throughout the entire period and in the two sub-periods. Chinese market exhibited as the most resilient market during the geopolitical crisis. Furthermore, the commodities market (oil and gold) exhibited characteristics of safe-haven assets and hedging abilities during the crisis. The study revealed no indication of bitcoin serving as a safe-haven asset within the cryptocurrency market. These results carry substantial implications for investors, fund managers, and policymakers, highlighting the importance of crafting strategies and policies informed by the study's findings to effectively navigate future crisis episodes.

Keywords: Geopolitical Crises; Global Financial Markets; TVP-VAR; Volatility Spillovers (search for similar items in EconPapers)
JEL-codes: F21 G01 G11 G15 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.e-jei.org Full text (application/pdf)

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:ris:integr:0933

Access Statistics for this article

Journal of Economic Integration is currently edited by Seongeun Kim

More articles in Journal of Economic Integration from Center for Economic Integration, Sejong University Contact information at EDIRC.
Bibliographic data for series maintained by Yunhoe Kim ().