Does oil impede commodity futures markets during the COVID-19 pandemic and the Russia–Ukraine war? Evidence from QNARDL and wavelet analysis

This paper examines the relationship between oil prices and commodity futures across energy-linked assets, industrial metals, precious metals, and agro-food commodities in the pre-COVID period, during the COVID-19 pandemic, the post-COVID and the Russia–Ukraine war period. Using NARDL and QNARDL models, we capture asymmetric short- and long-run effects of oil returns, trading volume, and open interest, complemented by wavelet coherence analysis to assess time–frequency co-movements. In the pre-COVID period, energy assets (gasoil, natural gas) showed strong coherence with oil, industrial metals showed moderate mid-frequency co-movements, agro-food commodities were largely decoupled, and gold minimally correlated. During COVID-19, long-term positive co-movements appeared for oil-natural gas, oil-cocoa, oil-gold, and oil-palladium, while oil-copper and oil-white maize showed negative coherence, reflecting crisis-induced contagion. Energy and precious metals experienced intensified speculation, agricultural commodities acted mainly as hedges, and natural gas exhibited regional asymmetries and lead–lag shifts. Gold functioned as a safe-haven, though occasionally constrained by forced liquidations. In the post-COVID and Russia–Ukraine war period, short-term coherence surged for most commodities, white maize, zinc, palladium, cocoa, and gold, highlighting rapid contagion under geopolitical shocks, whereas oil-natural gas and oil-copper correlations were lower, suggesting hedging potential. Overall, co-movement and hedging properties are crisis-specific, emphasizing the value of sub-period analysis for investment and risk-management strategies.