Spillovers among energy commodities and the Russian stock market

We examine the connectedness in energy commodities sector and Russian stock market over period 2005–2020 using variance decomposition approach. Our analysis identifies booms busts correspondence of political war episodes that are related to spillover effects economy, as well markets. findings show Oil & Gas Metals Mining sectors net shock contributors crude oil have highest spillovers other sectors. Furthermore, we disentangle sources originated from financial commodity markets find a positive change volatility is associated with an increase geopolitical uncertainty. Finally, spread COVID-19 increases spillover, whereas it lowers spillover.