Unveiling the interconnectedness and volatility transmission between real assets and global stock market indices

Dhouha Mellouli, Beatrice D. Simo‐Kengne, Azza Bejaoui and Ahmed Jeribi

Review of Financial Economics, 2025, vol. 43, issue 3, 336-382

Abstract: As economies and financial markets integrate, geopolitical tensions and global crises have fueled uncertainty and unpredictability in the financial markets, leading to increased risk and information transfer between and across asset classes. This study examines the dynamic interconnectedness and volatility spillover between commodity and G7 stock indices using daily data spanning the period from January 2019 to 2024. Results from quantile and TVP‐VAR show that most spillover effects occur in the short term, implying that global shocks swiftly disseminate across markets and assets, with potential influence on investor sentiment and future expectations. Commodities generally display negative net spillovers with stock indices, which makes them net receivers of shocks and henceforth the best diversification options across countries. S&P 500, DAX 40, and CAC 40 primarily function as net transmitters, while Nikkei stands as a consistent shocks’ recipient. Finally, Bitcoin stands as the superior safe‐haven commodity, while Nikkei acts as a focal point for market instability during geopolitical and global crises. For policy‐makers, the fast disclosure of information among different markets suggests the need for them to establish short‐run strategies to adequately deal with spillover and contagion risks.

Date: 2025
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https://doi.org/10.1002/rfe.70003

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Persistent link: https://EconPapers.repec.org/RePEc:wly:revfec:v:43:y:2025:i:3:p:336-382

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