Purpose This study aims to extend the dynamic conditional correlation (DCC), wavelet coherence (WTC) and Diebold–Yilmaz (DY) spillover index methodologies to investigate the relationship between SJC gold prices, XAU and West Texas intermediate (WTI) crude oil prices. Design/methodology/approach The DCC, WTC and DY spillover index methodologies are used in this study. Findings The results reveal significant dynamic and time-varying relationships among SJC gold, XAU and WTI oil prices. Stronger co-movements and volatility spillovers are observed during the COVID-19 period, indicating heightened market interdependence under uncertainty. The findings also show asymmetric lead–lag effects, with global gold and oil markets playing a dominant role in transmitting shocks to the Vietnamese gold market. In the post-COVID period, the level of connectedness declines but remains significant, suggesting persistent integration. These results highlight the importance of monitoring cross-market linkages for effective risk management. Originality/value The results not only provide insights into financial dynamics but also contribute to the development of risk management strategies and appropriate economic policies, particularly for the Vietnamese gold market in the context of increasingly deep international integration.
Dang et al. (Mon,) studied this question.