How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets: Evidence from wavelet analysis

•We discuss how various uncertainty indices (EPU, VIX, and GPR) interact with the return connectedness among commodity and financial markets from the time–frequency perspective.•The TVP-VAR model and wavelet coherence are combined and applied.•The interactions between uncertainty indices and the return connectedness index are dependent upon investment horizons and susceptible to significant crisis events.•EPU and VIX displays a positive dependent on the total return connectedness in the short- and medium-term but transitions to a negative correlation in the long-term, whereas GPR primarily exert positive effect on the total return connectedness in the long-term. This paper discusses how various uncertainties interact with the return connectedness among commodity and financial markets from the time–frequency perspective. To begin with, the TVP-VAR is employed to examine the return connectedness among commodity and financial markets. Subsequently, the wavelet coherence is applied to examine the dependent relationship between uncertainty indices (EPU, VIX, and GPR) and the return connectedness index. Our results show that the interactions between uncertainty indices and the return connectedness index are dependent upon investment horizons and susceptible to significant crisis events. Besides, EPU and VIX displays a positive dependent on the total return connectedness in the short- and medium-term but transitions to a negative correlation in the long-term, whereas GPR primarily exert positive effect on the total return connectedness in the long-term. Moreover, the interdependence between the net return connectedness for each market and uncertainty indices displays noteworthy heterogeneity. These findings provide important reference for all market participants to respond to cross-market spillover effects under the shock of uncertainty.