We study the immediate impact of heightened geopolitical tensions caused by the Russia-Ukraine war, on volatility connectedness networks of 18 global stock markets and 5 major commodities. Our analyses reveal a shift in connectedness spillovers during the war: while crude oil (a net shock transmitter before the war) became a net shock receiver, shocks transmitted by crude oil net importers appear to primarily contribute to crude oil turning a net shock receiver, whereas for platinum and wheat, we observe that both net exporters and importers have received volatility shocks. We further dissect the impact of war on the direction of spillovers using panel censored regressions. Employing insights from the analyses, we design portfolios that weigh higher (lower) on stock indices with lower (higher) pairwise connectedness (PCI) to each commodity. We not only find these PCI-based portfolios to exhibit safe-haven properties under extreme geopolitical risk, but they also outperform an equally-weighted portfolio during a period of war. Finally, low-minus-high factors constructed on pairwise connectedness have significant explanatory power for portfolio returns, indicating connectedness as an additional factor for asset pricing models.

中文翻译：

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股市的震荡是由大宗商品市场驱动的吗？俄乌战争的证据

我们研究俄罗斯-乌克兰战争造成的地缘政治紧张局势加剧对 18 个全球股票市场和 5 种主要商品的波动连通性网络的直接影响。我们的分析揭示了战争期间连通性溢出效应的转变：虽然原油（战前的净冲击发射器）变成了净冲击接收器，但原油净进口国传递的冲击似乎主要导致原油变成净冲击接收器，而对于铂金和小麦，我们观察到净出口国和进口国都受到了波动性冲击。我们使用面板审查回归进一步剖析战争对溢出方向的影响。利用分析中的见解，我们设计了对每种商品具有较低（较高）成对关联性（PCI）的股票指数权重较高（较低）的投资组合。我们发现这些基于 PCI 的投资组合不仅在极端地缘政治风险下表现出避险属性，而且在战争时期它们的表现也优于同等权重的投资组合。最后，基于成对连通性构建的低负高因子对投资组合回报具有显着的解释力，表明连通性是资产定价模型的附加因素。