This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík’s (2018) method, significant...

This study examines the lower and upper return spillovers and connectedness between important commodity (crude oil and gold) and main international stock markets using the quantile connectedness approach by Ando et al. (2018). The results show stronger return spillovers during bearish and...