Dynamic linkages between global commodity prices and stock markets in times of crisis: Evidence from a DCC-GARCH framework

This paper investigates the dynamic connectedness between major international stock markets (SP 500, CAC 40, DAX, Nikkei, and HSCE) and key alternative assets (gold, wheat, oil, and Bitcoin) across three structurally distinct global crises. Using a DCC-GARCH framework over the period 2006–2024, the study examines how different types of extreme events shape time-varying correlations and influence the hedging and diversification potential of non-equity assets. The results indicate that defensive properties are highly crisis-dependent: traditional assets such as gold exhibit periods of stability but do not offer uniform protection across shocks, while newer assets like Bitcoin, often described as “digital gold”, experience short-lived surges in correlation at the onset of market stress before rapidly decorrelating, raising questions about their reliability as sustained hedges. By integrating these correlation dynamics with shock-sensitive hedging assessments, the findings provide broader insights into asset behavior during crisis periods and highlight the importance of flexible, shock-aware risk-management strategies.