The Impact of the Russian-Ukrainian War on Global Financial Markets

Izzeldin, Marwan and Muradoglu, Gulnur and Pappas, Vasileios and Petropoulou, Athina and Sivaprasad, Sheeja (2023) The Impact of the Russian-Ukrainian War on Global Financial Markets. International Review of Financial Analysis, 87: 102598. ISSN 1057-5219

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On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.

Item Type:
Journal Article
Journal or Publication Title:
International Review of Financial Analysis
Uncontrolled Keywords:
?? ukraine warfinancial marketsharmarkov switchingcommoditiesfinanceeconomics and econometrics ??
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Deposited On:
12 Apr 2023 08:35
Last Modified:
15 Jul 2024 23:38