Dynamic volatility linkages among crude oil, exchange rate, interest rate, gold and equity markets: an empirical Asian perspective

Purpose The study aims to investigate the volatility linkages among macroeconomic indicators such as crude oil, exchange rate, interest rate, gold and equity markets in the three major Asian economies: India, China and Japan. Design/methodology/approach To investigate these volatility linkages, a time-varying parameter vector autoregression-based connectedness approach was used. Findings The study found that each country’s exchange rate is significantly influenced by spillovers from other variables. Gold and interest rates act as the primary sources of volatility spillovers. In India and China, gold serves as the main transmitter of this volatility, while in Japan, it is the interest rate that plays this role. Among the three equity markets examined, only Japan’s equity market acts as a net receiver of volatility spillovers. Practical implications Investors should actively manage their investment strategies in light of market volatility, particularly during uncertain times. The research indicates that market participants need to monitor the fluctuations in gold and interest rates, as these two factors are the primary sources of volatility. Originality/value Global economic uncertainty, geopolitical tensions and rapid shifts in investor sentiment have underscored the critical need to understand the volatility linkages among benchmark indicators. There is a lack of studies focusing on examining the volatility linkages in the Asian context. Hence, the present study contributes to addressing this overlooked research gap.