Asset Connectedness in Times of Crisis: Bitcoin, Commodities, and GCC Stock Markets During the COVID-19 Pandemic and the Russia–Ukraine War

This study investigates the dynamic connectedness among stock markets of the Gulf Cooperation Council (GCC) countries, key commodities (WTI crude oil, natural gas, wheat, and gold), and Bitcoin over the period from January 2016 to November 2022. To capture crisis-specific dynamics, the sample is divided into three sub-periods: the pre-crisis baseline (2016–2019), the COVID-19 pandemic (2020–2021), and the Russia–Ukraine war (2022). Using a time-varying parameter connectedness framework, we analyze how health and geopolitical shocks alter spillover patterns, volatility transmission, and the roles of assets as net transmitters or receivers of shocks. Our findings reveal that the Russia–Ukraine war exerted a significantly stronger impact on GCC equity markets than the pandemic, triggering sharper declines in returns and heightened volatility. While financial markets exhibited pronounced interdependence during both crises, international stock indices displayed greater instability compared to commodity markets. Notably, the roles of Bitcoin and gold evolved across crises: during the pandemic, they showed limited integration with GCC markets, but during the war, both assets became active participants in shock transmission—gold transitioning into a net transmitter and Bitcoin reinforcing its dual nature as both a risk amplifier and a conditional diversifier. These results carry important implications for portfolio management and financial policy. Certain commodities, particularly gold, demonstrate context- dependent safe-haven properties, offering effective hedging opportunities during geopolitical turmoil but not necessarily during health crises. For investors, this underscores the need for crisis-aware allocation strategies. From a policy perspective, GCC authorities should integrate dynamic connectedness monitoring into systemic risk frameworks and adapt regulatory responses to the nature of the underlying shock—whether health-related or geopolitical.