Dynamics interconnectedness between energy markets and global commodities: Evidence from global crisis and geopolitical tensions

Abstract This study analyzes co‐movements in energy markets and commodities during geopolitical events and financial stress periods. Using spectral causality tests, bivariate wavelet coherence, and multiple wavelet coherence techniques, we reveal intricate associations among diverse financial stress and energy market indices. Significantly, the CBOE oil volatility index exhibits a substantial long‐ and medium‐term causal effect on the S&P Global Clean Energy index during extreme events such as the COVID‐19 pandemic and the Russia–Ukraine war. Bivariate wavelet coherence analysis reveals remarkable lead–lag relationships with gold volatility as a leading indicator for clean energy stocks, especially in turbulent periods. The multiple wavelet coherence assessment explores the combined effects of uncertainty indicators on the relationships between clean energy, energy, and commodities indices. Interestingly, during a high uncertainty period, the S&P 500 Energy index and geopolitical risk significantly jointly influence the clean energy market, emphasizing the importance of external factors in the market dynamics. Our findings contribute valuable insights into investors and policy‐makers, as well as market participants, and as such highlight the need for a nuanced understanding of lead–lag dynamics and the combined effects of various risk factors on market co‐movements.