Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets
使用TVP-VAR方法研究COVID-19疫情和俄乌战争期间标普500指数基金与黄金、WTI原油市场的下行关联性，发现标普500指数基金是净风险溢出接收者，而其他基金是波动溢出传递者，为投资者提供见解。
ABSTRACT This study evaluates the market downturn connectedness between S&P 500 index funds and real‐time markets (gold and WTI) during the COVID‐19 pandemic and the Russia‐Ukraine wars. Using the TVP‐VAR approach, we explored the significant connectedness among these markets during both crisis episodes. The S&P 500 Index Fund (State Street S&P 500 Index Fund Class N) is the net risk spillover receiver in the system, whereas S&P 500 Index funds (all others) are significant volatility spillover transmitters during the COVID‐19 and Russia‐Ukraine wars. Furthermore, gold and WTI receive net risk spillovers in both crises. However, all S&P 500 index funds are also pairwise and extensively connected with real‐time markets (gold and WTI) in the COVID‐19 and Russia‐Ukraine wars. This study offers potential investment insights for shareholders, traders, speculators, and portfolio managers in these markets.