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<p>The present study explores the dynamic return connectedness and spillover effects between Shariah Islamic indices and the commodity futures market during the black swan events such as the COVID-19 pandemic and the Russia-Ukraine war. The study employs a newly proposed quantile vector autoregression (QVAR) spillover approach of Chatziantoniou et al. (2021) on daily data from May 7, 2014, to September 29, 2023. Further, we divide the full sample into three sub-periods: pre-COVID-19, post-COVID-19, and the Russia-Ukraine war. The study results show a strong total spillover connectedness between Shariah Islamic indices and the commodity futures market during the entire study period. Further, the study also finds that the net directional connectedness results document that the Shariah Islamic indices exhibit the highest source of shocks to commodity futures returns in the lower and upper quantiles. The overall results show a strong and significant time-varying connectedness between Shariah Islamic indices and commodity futures returns during the black swan events.</p>

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Dynamic return connectedness and spillover effects between Shariah Islamic indices and commodity futures market during black swan events: a quantile VAR connectedness approach

  • 期刊论文

  • 发表日期：

    2025年10月24日

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  • M. Thilaga,
  • V. Veeravel,
  • K. Prabhakar Rajkumar

摘要

The present study explores the dynamic return connectedness and spillover effects between Shariah Islamic indices and the commodity futures market during the black swan events such as the COVID-19 pandemic and the Russia-Ukraine war. The study employs a newly proposed quantile vector autoregression (QVAR) spillover approach of Chatziantoniou et al. (2021) on daily data from May 7, 2014, to September 29, 2023. Further, we divide the full sample into three sub-periods: pre-COVID-19, post-COVID-19, and the Russia-Ukraine war. The study results show a strong total spillover connectedness between Shariah Islamic indices and the commodity futures market during the entire study period. Further, the study also finds that the net directional connectedness results document that the Shariah Islamic indices exhibit the highest source of shocks to commodity futures returns in the lower and upper quantiles. The overall results show a strong and significant time-varying connectedness between Shariah Islamic indices and commodity futures returns during the black swan events.