Quantile frequency connectedness between geopolitical risk, crude oil volatility, investor attention and commodity markets during geopolitical conflicts

Purpose This study explores the dynamic connectedness among geopolitical risk (GPR), crude oil market volatility (OVX), investor attention (IA), and major agricultural, livestock and metal commodity markets. Design/methodology/approach Employing the quantile-frequency connectedness framework developed by Chatziantoniou et al. (2022), we examine how the interrelationships among these variables evolve across market conditions -ranging from normal to extreme- and across various investment horizons, from short to long-term. In contrast to traditional methods that focus solely on either quantile or frequency domains, our approach captures the dual dimensions of financial contagion. The sample period spans from January 2020 to June 2024, which encompasses the Russian-Ukrainian and the Israeli-Palestinian conflicts. Findings The connectedness analysis reveals several noteworthy findings. First, extreme quantiles display substantially higher total connectedness compared to the median quantile. Furthermore, the results highlight a pronounced asymmetry in connectedness, with spillover effects being more pronounced in the extreme upper quantile than in the extreme lower quantile. Second, under normal and bearish market conditions, short-term connectedness tends to dominate, whereas bullish markets are characterized by stronger long-term spillovers. Originality/value The manuscript offers a novel contribution by jointly exploring the connectedness between geopolitical risk, crude oil volatility, investor attention, and commodity markets using the advanced quantile-frequency connectedness approach of Chatziantoniou et al. (2022). This dual-dimensional framework, applied to two major recent conflicts (Russia-Ukraine and Israel-Palestine), adds originality, especially in capturing both the economic and psychological dimensions of market reactions across varying time horizons and market regimes.