COVID-19 or Russia-Ukraine Conflict: Which Is Informative in Defining the Dynamic Relationship between Bitcoin and Major Energy Commodities?

Purpose - This paper examines an essential methodology to evaluate the influence of the COVID-19 and Russia-Ukraine conflict surprises and conception statements employed for the dynamic conditional correlation between returns and volatilities of energy commodity indices and Bitcoin. Design/methodology/approach - To assess analytically the unexpected component of COVID-19 and Russia-Ukraine conflict surprises, we use GARCH-DCC(1,1) model as established by Engle (2002) by incorporating a dummy variable which measures the surprise factor during the period of study from January 04, 2016, to April 04, 2022. Findings - The experimental outcomes of this paper suggest significant and considerable dynamic conditional correlation between energy commodities indices and Bitcoin if COVID-19 pandemic and Russia-Ukraine conflict shocks are incorporated in variance assessments. Additionally, these outcomes demonstrate the financialization phenomena of energy commodities indices and Bitcoin. We find that the dynamic conditional correlation between energy commodities indices and Bitcoin start to respond considerably more in the situation of Russia-Ukraine conflict shocks than COVID-19 surprises. Originalities/Values - Our outcomes contribute and improve to the research in financial and economic impacts of the recent epidemic and war between Russia and Ukraine with offering an experimental impervious that COVID-19 and Russia-Ukraine conflict give a bidirectional spillover effect on energy commodities and cryptocurrencies assets. This investigation has an essential and considerable concern for the officials and legislators and the portfolio risk administrators and executives.