“…In this respect, many of the existing studies focus their examination on the connectedness and risk spillovers between European Union countries ( Antonakakis and Vergos, 2013 , Claeys and Vasicek, 2014 , Fernández-Rodríguez et al, 2016 , Ehrmann and Fratzscher, 2017 , Greenwood-Nimmo et al, 2017 , BenSaïda, 2018 , Chatziantoniou and Gabauer, 2021 , Umar et al, 2019 ). In addition, a plethora of studies have explored connectedness between commodities (e.g., Antonakakis and Kizys, 2015 , Yoon et al, 2019 , Umar et al, 2019a , Umar et al, 2019b , Balcilar et al, 2021 ), cryptocurrency markets (e.g., Koutmos, 2018 , Antonakakis et al, 2019 , Ji et al, 2019 , Zieba et al, 2019 , Umar et al, 2021 , Aharon et al, 2021 ), and asymmetric connectedness (e.g., Baruník et al, 2016 , Baruník et al, 2017 , BenSaïda, 2019 ). We seek to contribute to these studies by examining connectedness during market crises (e.g., Alter and Beyer, 2014 , Greenwood-Nimmo et al, 2017 ), and more specifically, to several studies examining connectedness and contagious effects during COVID-19 (e.g., Adekoya and Oliyide, 2020 , Gubareva and Umar, 2020 , Adekoya et al, 2020 , Bissoondoyal-Bheenick et al, 2020 , Corbet et al, 2020 , Umar and Gubareva, 2020 , Umar and Gubareva, 2021 , Umar and Gubareva, 2021a ).…”