Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak.

This study examines the return and volatility connectedness between the rare earth stock market and clean energy markets, world equity, base metals, gold, and crude oil. Using daily data from September 21, 2010 to August 28, 2020, a time-varying parameter vector autoregression (TVP-VAR) approach to connectedness is applied to uncover the dynamics of connectedness during the entire period and the COVID-19 pandemic period. Volatility connectedness is generally stronger than return connectedness.