Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine

•Study returns and volatility spillover across commodities around the war in Ukraine.•Volatility spillover spikes from 35% to 85%, topping the level seen during COVID-19.•The role of commodities changes in both return and volatility spillover systems.•Geopolitical risk (GPR) index Granger causes the spillover indices.•High levels of return and volatility spillovers are linked to high levels of GPR. We evaluate the transmission of returns and volatility in the universe of commodities around the war in Ukraine. The total volatility spillover increases from 35% to 85%, exceeding the level seen during the pandemic. The role of commodities changes in both return and volatility spillover systems. Crude oil becomes a net transmitter of return spillovers whereas wheat and soybeans become net receivers of return spillovers. Silver, gold, copper, platinum, aluminium, and sugar become net transmitters of volatility. Geopolitical risk Granger causes the spillover indices. High levels of return and volatility spillovers are associated with high levels of geopolitical risk.