The Impact of the COVID-19 Pandemic and the Russia-Ukraine War on Stock, Gold, and Bitcoin Markets: Examining Volatility Spillovers and Extreme Return Movements

Abstract

We examine how the COVID-19 pandemic and Russia-Ukraine war affect volatility spillovers and extreme return movements in the stock, gold, and bitcoin markets. Our study uses the post-pandemic period of up to two and a half years in order to reflect the lingering effects of the pandemic as well as its initial impact. We find that volatility spillover has weakened in the post- versus pre-pandemic period. Additionally, our results suggest that the Russia-Ukraine war has had little impact on volatility spillovers. We subsequently test for extreme return movements separately and find substantial increases in the likelihood that two assets’ extreme returns move simultaneously post- versus pre-pandemic.