Dynamic Spillovers Among Equity, Gold and Oil Markets During COVID and Russia-Ukraine War: Evidence from India

The interactions among equity and commodity market prices and their volatility provide valuable information to market participants. This paper explores such dynamic interrelations in India, especially whether relationships have significantly changed with the onset of the COVID-19 pandemic and the Russia-Ukraine war of 2022. Based on a daily dataset from January 2017 to May 2022, VAR-MGARCH models and dynamic correlations are estimated with prices of gold, equity, and crude oil for spot and futures markets. Findings suggest that for gold, crude oil, and equity in spot and futures segments, there is evidence of significant persistence of volatility and spillover from past shocks. In general, volatility spillover is more pronounced in the spot than in the futures market. Evidence also indicates bi-directional spillovers between markets, but it is more prominent from the equity market to the crude oil and from crude oil to the gold market. However, the most notable finding of the study is that, like the period of the global financial crisis, the dynamic correlation between stock and crude oil markets has substantially increased during the COVID and war periods both in spot and futures markets. Also, during COVID, the property of gold acting as a hedge against stock has weakened.