A Study on Volatility Spillovers among International Stock Markets during the Russia-Ukraine Conflict

被引：2
|
作者：
Mu, Sixu [1 ]
Huang, Guangdong [1 ]
Li, Ping [2 ]
Hou, Yun [1 ]
机构：
[1] China Univ Geosci, Sch Sci, Beijing 100083, Peoples R China
[2] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2022年 / 2022卷
基金：
中国国家自然科学基金;
关键词：
CONNECTEDNESS;
D O I：
10.1155/2022/4948444
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper analyzes the dynamic time-frequency volatility spillovers among the international stock markets during the Russian-Ukraine conflict. We use the VAR-based connectedness framework to calculate the volatility spillovers. Results show that (1) the trend of the total spillover is consistent with the time of the Russian-Ukraine conflict; (2) Russian stock market is the primary source and net exporter of risk; (3) the Russian government has effectively controlled the further spread of risk through policy adjustments; and (4) Russian stock market may generate long-run volatility spillovers among the international stock market. We add research related to the impact of the Russia-Ukraine conflict on international stock markets by analyzing the results of the volatility spillovers.
引用
收藏
页数：8
相关论文
共 50 条
  • [21] Global evidence on the Russia-Ukraine conflict and energy stock returns
    Kakhkharov, Jakhongir
    Onur, Ilke
    Yalcin, Erkan
    Zhu, Rong
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2024, 93 : 413 - 435
  • [22] Return and volatility spillovers among CIVETS stock markets
    Korkmaz, Turhan
    Cevik, Emrah I.
    Atukeren, Erdal
    EMERGING MARKETS REVIEW, 2012, 13 (02) : 230 - 252
  • [23] Return and Volatility Spillovers Among Asian Stock Markets
    Joshi, Prashant
    SAGE OPEN, 2011, 1 (01): : 1 - 8
  • [24] Precious metals and currency markets during the Russia-Ukraine conflict's inflationary periods
    Raza, Syed Ali
    Guesmi, Khaled
    Benkraiem, Ramzi
    Anwar, Rija
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2024, 67
  • [25] Ukraine–Russia Conflict and Stock Markets Reactions in Europe
    Das B.C.
    Hasan F.
    Sutradhar S.R.
    Shafique S.
    Global Journal of Flexible Systems Management, 2023, 24 (3) : 395 - 407
  • [26] Reactions of Global Stock Markets to the Russia-Ukraine War: An Empirical Evidence
    Chowdhury, Emon Kalyan
    Khan, Iffat Ishrat
    ASIA-PACIFIC FINANCIAL MARKETS, 2024, 31 (03) : 755 - 778
  • [27] Intra-daily volatility spillovers in international stock markets
    Golosnoy, Vasyl
    Gribisch, Bastian
    Liesenfeld, Roman
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2015, 53 : 95 - 114
  • [28] Changes in volatility leverage and spillover effects of crude oil futures markets affected by the 2022 Russia-Ukraine conflict
    Pan, Qunxing
    Sun, Yujia
    FINANCE RESEARCH LETTERS, 2023, 58
  • [29] What is the impact of Russia-Ukraine conflict on the international textile market?
    Zhao Xinhua
    China Textile, 2022, (02) : 44 - 46
  • [30] Russia-Ukraine conflict: The effect on European banks? stock market returns
    Martins, Antonio Migule
    Correia, Pedro
    Gouveia, Ricardo
    JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2023, 67
12345