This study focuses on the dynamic connectedness between returns and volatilities of commodities and Islamic developed and emerging market indices using daily date from August 30, 2007 to June 30, 2020. We employed the Diebold and Yilmaz (2014) connectedness index based on the forecast error variance decomposition from vector autoregression (VAR) framework. First, we used a static analysis to calculate the total return and volatility connectedness. Second, we opted for a dynamic analysis to evaluate both the net directional and net pairwise directional connectedness for commodities and Islamic stock markets in the total period. Finally, we perform a sub-sample analysis, with networks, nodes and edges after the outbreak of COVID-19 to highlight how this earlier outbreak has changed the network structure between commodities and Islamic indices. Generally, results show that commodities indices exhibits the highest source of shocks to Islamic stock market whatever the period. Additionally, the rolling analysis of return and volatility spillover shows that the degree of connectedness varies over time, as there is a strong spillover transmission especially after the COVID-19 pandemic. Thus, Islamic stock market appears as a net recipient rather than a transmitter of spillovers.

本研究使用日期为2007年8月30日至2020年6月30日的每日数据，着重研究商品收益率和波动率与伊斯兰发达和新兴市场指数之间的动态关联性。我们根据预测误差采用了Diebold和Yilmaz（2014）的关联性指数向量自回归（VAR）框架的方差分解。首先，我们使用静态分析来计算总收益和波动率的联系度。其次，我们选择了动态分析，以评估整个时期内商品和伊斯兰股票市场的净方向性和净成对方向的连通性。最后，我们对COVID-19爆发后的网络，节点和边缘进行了子样本分析，以突出此早期爆发如何改变了商品和伊斯兰指数之间的网络结构。总体而言，结果表明，无论什么时期，大宗商品指数都是伊斯兰股票市场遭受冲击的最大来源。此外，收益率和波动性溢出的滚动分析表明，联系程度随时间而变化，因为存在强烈的溢出传播，尤其是在COVID-19大流行之后。因此，伊斯兰股票市场似乎是净接受者，而不是溢出的传播者。