Dynamic volatility spillovers during market turbulence: examining the interconnectedness among gold, oil, cryptocurrencies and stock markets

Purpose This paper examines dynamic volatility spillovers among gold, oil, cryptocurrencies and stock markets in the USA, Japan, China and Vietnam, and evaluates the hedging potential of these alternative assets during periods of market turbulence. Design/methodology/approach Using daily data from 2018 to 2023, this study employs the Diebold–Yilmaz spillover framework to examine the volatility spillover across different asset classes. This methodology is well-suited for capturing dynamic, time-varying connectedness and identifying the dominant transmitters and receivers of volatility in financial markets. Findings The results show that volatility spillovers intensify significantly during major crises, such as the COVID-19 pandemic and the Russia–Ukraine conflict, highlighting increased market interconnectedness during turbulent periods. Developed markets, particularly the USA, emerge as dominant transmitters of volatility, while emerging markets play a more limited role. While commodities and cryptocurrencies generally function as risk diversifiers, their roles as safe-haven assets diminish during extreme market stress, when they instead become volatility transmitters. These results are robust to the choice of different estimation windows, forecast horizons and lag structures. Originality/value The study contributes to the literature by extending the application of the spillover index methodology in a multi-asset, cross-market framework that includes both traditional and digital assets across developed and emerging economies. The results reveal the conditional nature of safe-haven behavior and carry important implications for investors, portfolio managers and policymakers concerned with risk management and financial stability during systemic shocks.