This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency benchmark index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, such as the Volatility Index and the Economic Policy Uncertainty, we also consider two...

We analyse the impact of the COVID-19 pandemic on spillover between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, and Bitcoin prices, VIX and EPU index affect the relationships between these markets during the COVID-19 pandemic. The results...

We analyse the impact of instability caused by Arab Spring on co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we find that stress transmission between markets is higher at low frequencies...