Abstract
In the contemporary global landscape, there has been a growing uncertainty due to continuous shocks with significant implications on investment and portfolio management. This paper investigates how return spillovers and dependencies between traditional and modern financial assets evolve under varying market conditions, with a focus on the COVID-19 crisis period. Using a quantile vector autoregression (QVAR) model combined with network analysis, we analyse daily asset returns from 02 January 2018 to 30 June 2023 to capture asymmetric and state-dependent connectedness. The study reveals that asset interdependencies intensify during periods of market stress, particularly at extreme quantiles. Green bonds, gold, and AI-related assets exhibit safe-haven characteristics under these conditions. The findings underscore the dynamic nature of market connectedness and provide important insights for portfolio diversification strategies, especially for risk-averse investors navigating turbulent markets.