Evaluating the dynamic connectedness of financial assets and bank indices during black-swan events: A Quantile-VAR approach
研究在新冠疫情和俄乌冲突等黑天鹅事件期间，贵金属、工业金属、能源、农产品及加密货币是否可作为全球主要银行股指的避险资产，发现黄金、天然气和小麦能有效吸收银行指数溢出风险。
This study examines whether precious metals, industrial metals, energy and agricultural commodities, or cryptocurrencies form trustworthy safe havens against extreme price volatility of major global bank stock indices during black-swan events such as the COVID-19 pandemic and the Russia-Ukraine conflict. Using daily data and applying Quantile-VAR dynamic pairwise and extended joint connectedness methodologies, we investigate dynamic connectedness between major financial assets and major bank indices during exceptional crises. Findings provide evidence that crude oil and both Ethereum and Bitcoin present evidence of propagating significant shocks towards bank stock indices during crises, but other large-cap cryptocurrencies present no evidence of any specific influence. Further, gold, natural gas, and wheat are identified as the main absorbers of spillovers from banking indices during analysed crises, with more pronounced effects identified during exceptional phases of volatility. Such findings suggest that risk in the banking sector can be efficiently hedged by traditional safe havens such as gold and counterbalanced by highly outperforming assets such as natural gas and wheat. The study significantly contributes to understanding the interplay between banking sectors and various financial assets during crises and the subsequent strategies available for managing systemic risks, providing valuable insights for policymakers, regulators, and investors alike.