Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets

Waheed Ullah Shah, Ibtissem Missaoui, Ijaz Younis and Xiyu Liu

Journal of Futures Markets, 2025, vol. 45, issue 9, 1278-1297

Abstract: This study evaluates the market downturn connectedness between S&P 500 index funds and real‐time markets (gold and WTI) during the COVID‐19 pandemic and the Russia‐Ukraine wars. Using the TVP‐VAR approach, we explored the significant connectedness among these markets during both crisis episodes. The S&P 500 Index Fund (State Street S&P 500 Index Fund Class N) is the net risk spillover receiver in the system, whereas S&P 500 Index funds (all others) are significant volatility spillover transmitters during the COVID‐19 and Russia‐Ukraine wars. Furthermore, gold and WTI receive net risk spillovers in both crises. However, all S&P 500 index funds are also pairwise and extensively connected with real‐time markets (gold and WTI) in the COVID‐19 and Russia‐Ukraine wars. This study offers potential investment insights for shareholders, traders, speculators, and portfolio managers in these markets.

Date: 2025
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