From Crisis to Contagion: Exploring the Threads of Market Connectedness

Shojaei S.A. Almansour A.Y. Abdelazeem M.A.L. Elkrghli S.
September 2025 Korean Institute of Industrial Engineers

Industrial Engineering and Management Systems
2025 #24 Issue 3 396 - 410 pp.

This study examines the dynamic spillover connectedness among major global equity indices across four significant crises: the Global Financial Crisis, COVID-19 pandemic, Russia-Ukraine conflict, and Israel-Palestine war, using the Diebold-Yilmaz spillover index framework. Analyzing daily data from April 2003 to May 2024, we quantify total connectedness indices (TCIs) and directional spillovers to capture the transmission of shocks among key markets, including the S&P 500, DJIA, TEDPIX, and MOEX. Results reveal heterogeneous interconnectedness levels across crises, with the highest TCI observed during the Israel-Palestine conflict (38.86%) and the lowest during the Russia-Ukraine conflict (21.99%). The S&P 500 and DJIA consistently act as dominant shock transmitters, whereas markets such as TEDPIX and MOEX exhibit greater vulnerability to external shocks. These findings underscore the variable nature of market interdependence during crises, highlighting the critical role of continuous financial monitoring and tailored policy interventions to manage contagion risks. The study advances understanding of global market dominance and contagion dynamics, offering valuable insights for policymakers and investors and suggesting directions for future research on sectoral spillovers and policy impacts.

Connectedness , Global Crisis , Volatility

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Faculty of Business and Management, Muscat University, Muscat, Oman
School of Business, Coventry University, Astana, Kazakhstan
Oman College of Management and Technology, Berka, Oman
Faculty of Commerce, Ismailia-Suez Canal University, Ismailia, Egypt
University of Benghazi, Benghazi, Libya

Faculty of Business and Management
School of Business
Oman College of Management and Technology
Faculty of Commerce
University of Benghazi

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