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Volume XXI, Fall, Issue 4(94), 2026
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This paper examines return and volatility connectedness across eight global markets (Brent crude oil, gold, Bitcoin, the S&P 500, MSCI World, MSCI Emerging Markets, the US dollar index, and the US 10-year Treasury yield), using daily data from January 2016 to March 2026. A VAR-based connectedness framework is complemented by rolling-window estimation, frequency-domain decomposition, and a time-varying parameter VAR to capture the dynamics of cross-market spillovers. The equity subsystem is also analysed to identify intra-group transmission patterns.
Average return connectedness reaches 38.22% in the static model and approximately 44% in rolling estimations, peaking near 60% during periods of market stress. Equity markets, particularly MSCI World and the S&P 500, act as the main shock transmitters, while Bitcoin, crude oil, the US dollar index, and Treasury yields primarily absorb shocks. Frequency decomposition indicates that short-term spillovers (21.3%) exceed long-term spillovers (17.0%), highlighting the importance of investor sentiment and rapid repricing. Volatility connectedness is higher, at 44.33% in the static estimation, rising to a rolling-window average of 40.28% (range: 27.43%–87.47%). Frequency decomposition shows the opposite pattern to returns: volatility spillovers are predominantly long-term (35.77% versus 8.67% short-term). Bitcoin is predominantly a net receiver in both return and volatility spillovers. Within the equity subsystem, connectedness rises to 58.86%, suggesting limited diversification benefits during turbulent periods. Overall, the findings identify equity markets as the central channel of global financial spillovers and underline the diverging, horizon-specific nature of cross-market risk transmission across the return and volatility channels.
Copyright© 2026 The Author(s). This article is distributed under the terms of the license CC-BY 4.0, which permits any further distribution in any medium, provided the original work is properly cited.
Article's History: Received 29th of May, 2026; Revised 9th of July, 2026; Accepted 25th of July, 2026; Available online: 27th of July, 2026. Published as research article in the Volume XXI, Fall, Issue 4(94), 2026.
