The impact of the Russia-Ukraine conflict on the connectedness of financial markets

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Onur Polat, Bilecik University
Sun-Yong Choi, Gachon University
Tamara Teplova, National Research University Higher School of Economics

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

8-1-2022

Abstract

We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short- and long-term frequencies, respectively.

DOI Link

10.1016/j.frl.2022.102976

ISSN

1544-6131

Publisher

Elsevier BV

Volume

48

First Page

102976

Last Page

102976

Disciplines

Business

Keywords

Geopolitical risk, Russian-Ukrainian conflict, Dynamic connectedness, Time-varying parameter vector autoregression

Scopus ID

85130792775

Recommended Citation

Umar, Zaghum; Polat, Onur; Choi, Sun-Yong; and Teplova, Tamara, "The impact of the Russia-Ukraine conflict on the connectedness of financial markets" (2022). All Works. 5125.
https://zuscholars.zu.ac.ae/works/5125

Indexed in Scopus

yes

Open Access

no