Vol. 21, N°2 (2026)

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Dynamic Return Connectedness among Commodities, Clean Energy, Bitcoin and Equity Markets during COVID-19 and the Russo-Ukrainian Conflict

Résumé

This paper examines how two consecutive global shocks, the COVID-19 pandemic and the Russo-Ukrainian conflict, reshaped return connectedness across commodity, clean-energy, cryptocurrency, and equity markets. Using daily data from January 1, 2018 to May 31, 2024 and a time-varying parameter vector autoregression (TVP-VAR) connectedness framework, we quantify the evolution of total, directional, net, and pairwise return spillovers among the S&P GSCI Gold, Agriculture, Crude Oil and Natural Gas indices, the S&P Global Clean Energy Index, Bitcoin, the S&P 500, MOEX, and STOXX 600. The results show that both crises intensified cross-market spillovers, although the COVID-19 shock generated a stronger rise in system-wide connectedness than the Russo-Ukrainian conflict. During the pandemic, STOXX 600, S&P Global Clean Energy and MOEX acted as the main net transmitters of return shocks, while agriculture and Bitcoin were the largest net receivers. During the Russo-Ukrainian conflict period, Bitcoin, S&P Global Clean Energy and STOXX 600 became the main net transmitters, whereas the S&P 500, MOEX and crude oil were net receivers. These findings contribute to the literature on crisis-driven financial contagion by showing how traditional commodities, clean energy, Bitcoin and regional equity markets reallocate their roles as shock transmitters and receivers across successive crisis regimes. The results offer implications for portfolio diversification, hedging strategies and risk monitoring during periods of systemic stress.

Comment citer cet article

Fatma Ben Braiek & Fatma Derbali (2026), "Dynamic Return Connectedness among Commodities, Clean Energy, Bitcoin and Equity Markets during COVID-19 and the Russo-Ukrainian Conflict", International Journal of Management And Technologies, Vol.21, N°2, pp: 24-51. http://www.ijmat.tn/pages/articles/31/184