ABSTRACT This study examines the volatility spillovers and interconnectedness among oil, gold, and G7 equity markets during three distinct periods: calm period (CP), natural health crises (NHC), and war crises (WC). It analyzes daily data from January 2010 to April 2024, utilizing asymmetric BEKK‐GARCH and Time‐Varying Parameter Vector Autoregression (TVP‐VAR) approaches. Our findings reveal significant spillover effects, with oil markets exhibiting stronger negative impacts on G7 equities during crises compared to gold. Notably, oil acts as a net risk transmitter across periods, while gold serves as a defensive and safe‐haven asset, particularly during NHC. The hedging effectiveness analysis indicates that gold‐G7 portfolios offer superior diversification, while oil‐G7 pairs provide cost‐effective hedging strategies, with France emerging as a key reference point. The pairwise net connectedness analysis identifies the USA, Japan, and Italy as primary shock transmitters during WC, while Canada, France, Germany, and the UK primarily function as shock recipients. Time‐varying spillover results highlight increased market interconnectedness during crises, emphasizing the vital role of commodity markets in risk management. These findings provide actionable insights for portfolio managers facing crises, enabling them to design effective hedging and diversification strategies.
Ullah et al. (2025) studied this question.