The energy sector has been the main economic hub in everyone’s lives and in world geopolitics. Consequently, oil, gas, electricity and energy from renewable sources (wind and solar) are traded on the stock market, and all interconnected around the world. On the other hand, a global health crisis, such as COVID-19, can produce a great economic catastrophe. In this scenario, a robust statistical analysis will be performed here with respect to the concept of interdependence and contagion effect. For this project, we chose to study the relationship between the main source of energy (crude oil, WTI and Brent) and two (Gold and Silver) precious metals (which are a safe haven for investment). Therefore, with the novelty of the application of ${\rho }_{DCCA}$ and $\Delta {\rho }_{DCCA}$ coefficients before and during the COVID-19 crisis (announced by the World Health Organization), the interdependence and the contagion effect were calculated. We verified that COVID-19 had no influence on contagion effect between crude oil in its indexes, WTI and Brent, since they have already shown to be highly interdependent, both before and after the World Health Organization COVID-19 decree. Likewise, COVID-19 had a significant influence on the crude oil and precious metal sectors, which was evident as we identified an increase in its interdependence, with a clearly positive contagion. These results show that COVID-19 imposed a restructuring in the relationship between energy (crude oil) and precious metals. More details will be presented throughout this article.

The objective of this article is to analyze the co-movements in the G7 stock markets, such as DJ index, S&P500 (representing the USA stock market), FTSE 100 (United Kingdom), S&P/TSX (Canada), DAX 30 (Germany), CAC 40 (France), Nikkei 225 (Japan), Italy Ds market (Italy) and the cryptocurrencies Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) and Crypto 10, during the period of February of 2018 to November of 2021. The results show that the cryptocurrencies BTC, ETH, and LTC increase the co-movements between their pairs, while the Crypto 10 index reduces the number of shocks when compared with the sub-period before COVID-19. Regarding the stock markets, DJ index kept the same level of shocks, whereas the Nikkei 225 decreased. For Germany (DAX), EUA (S&P500), Canada (S&P/TSX), United Kingdom (FTSE 100), France (CAC40), and Italy (Italy Ds Market) markets the results show an increase in movements during the global pandemic period. It is then possible to conclude the existence of evidence regarding synchronization and high co-movements, the results put at risk the implementation of efficient portfolio diversification strategies. These conclusions also open space for the market regulators to take steps to ensure better information on the dynamics of the international financial markets.

Russia invaded Ukraine on February 24th, 2022, marking a steep escalation of the Russo-Ukrainian War, which began in 2014 after the Ukrainian Dignity Revolution. The invasion caused Europe’s largest refugee crisis since World War II, with more than 5.5 million Ukrainians leaving the country and a quarter of the population displaced. At the outbreak of war in 2014, Russia annexed Crimea and Russian-backed separatists who par­ticipated in the south-eastern Donbas region of Ukraine, starting a regional war there. Considering these events, it is relevant for policymakers and reg­ulators to understand how contagious crises are to take appropriate meas­ures to prevent or contain the side effects. To verify the levels of contagion or interdependencies we use Pindyck and Rotemberg’s t-statistic, as well as Forbes and Rigobon’s t-test, which suggests that we are facing extreme vol­atility in the capital markets analysed, and financial contagion is very sig­nificant. In conclusion, the capital markets analysed mostly show that cor­relations have increased in this period of uncertainty in the global economy (Russian invasion in Ukraine), evidencing that investors will find it difficult to diversify risk in these markets. The authors believe that the results achieved represent interest for investors seeking opportunities in these stock markets, and for policymakers to undertake institutional reforms to increase stock market efficiency and promote sustainable growth in financial markets. These findings also open room for market regulators to take steps to ensure better information in these regional markets

When compared to traditional financial markets, cryptocurren­cies were seen as assets with minimal correlations. However, because this continually expanding financial market is marked by substantial volatili­ty and strong price movements over a short period, developing an accurate and reliable forecasting model is deemed crucial for portfolio management and optimization. Given the relevance of cryptocurrencies in the global econ­omy, it is important to determine if Bitcoin (BTC) becomes more predictable as investors adopt more aggressive trading positions. We examine BTC over the period from May 15th, 2021, to April 14th, 2022 (8676-time data), using in­traday (hourly) time scales. The results reveal that the random walk hypoth­esis is rejected at lags of 3 to 16 days, while we see that the BTC market tends toward efficiency (see the evolution between lags of 16 and 2). These findings reveal that, given the uncertainty in the global economy in 2022, namely the Russian invasion of Ukraine, the BTC market shows values of the variance ra­tios close to unity, implying that it is, apparently, not predictable and that the residuals are not autocorrelated in time. In addition, the results of the De­trended Fluctuation Analysis (DFA) exponent show that this market does not exhibit characteristics of (in) efficiency in its weak form. In other words, this market does not have persistent and mean-reverting properties, thus vali­dating the results of Wright’s Rankings and Signs variance test.

Following the Revolution of Dignity in Ukraine in 2014, Russia an­nexed Crimea, while separatist forces supported by the Russian government seized part of the Donbas region in south-eastern Ukraine. Since the begin­ning of 2021, a build-up of Russian military presence has occurred along the Russia-Ukraine border. The United States and other countries have ac­cused Russia of planning an invasion of Ukraine. On February 24th, Putin announced a “special military operation,” supposedly to “demilitarize” and “denazify” Ukraine. In light of these events, the global economy and con­sequently the financial markets had significant structural breaks; based on these facts, this paper aims to analyze the synchronizations between the capital markets of Austria (Austrian Traded), Budapest (BUX), Bulgaria (SE SOFIX), Croatia (CROBEX), Russia (MOEX), Czech Republic (Prague SE PX), Ro­mania (BET), Slovakia (SAX 16), and Slovenia (SBI TOP), in the period from January 2nd, 2017 to May 6th, 2022. To perform this analysis and to get more robust results we divided the sample into two sub-periods: The first from January 2nd, 2017, to December 31st, 2019, with the second sub-peri­od called capital markets stress comprising the time lapse from January 1st, 2020, to May 6th, 2022. In order to answer the research question, we aim to find out, whether the Russian invasion of Ukraine accentuated interdepend­encies in Central/Eastern European financial markets. The time series do not show normal distributions, with the Russian market showing the high­est risk; we find that the markets broke down significantly, mostly in March 2022 arising from instability in the global economy. The results obtained suggest very significant levels of integration during the stress period in the capital markets analyzed, and we see that during the quiet period the Slo­vakian market tends to be highly integrated (8 out of 8 possible), while the Slovenian market shows no integration with its regional peers, which shows that we are dealing with a segmented market. These findings suggest that markets tend toward integration in periods of extreme volatility, calling into question the implementation of efficient portfolio diversification strategies.

The purpose of this study is to examine the synchronism between the US capital markets (DJ, S&P 500), the United Kingdom (FTSE 100), Canada (S&P/TSX), Germany (DAX 30), France (CAC 40), Japan (Nikkei 225), Italy (Italy Ds Market and major cryptocurrencies such as Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), and the Crypto 10 index, from February 2018 to November 2021. Based on the findings, we found that BTC and ETH cryptocurrencies drastically reduced their level of integration with their peers over the 2020 worldwide pandemic era, whereas LTC maintained. We also discovered that the Dow Jones, S&P 500, and DAX 30 stock indexes lowered their level of integration when compared to the pre-covid subperiod. For the UK capital market (FTSE 100), Canada (S&P/TSX), Japan (Nikkei 225), France (CAC 40), and Italy (Italy Ds Market) the level of integration increased significantly. These findings support, in part, our research question, that during periods of stress and uncertainty in the global economy capital markets tend towards integration, thus calling into question the hypothesis of efficient portfolio diversification.