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Multidimensional connectedness among the volatility of global financial markets around the Russian-Ukrainian conflict

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  • Yousaf, Imran
  • Hunjra, Ahmed Imran
  • Alshater, Muneer M.
  • Bouri, Elie
  • Li, Yanshuang

Abstract

This study investigates the impact of the Russo–Ukrainian war-induced uncertainty on multidimensional connectedness measures across the volatility of global stock and commodity markets using time-, frequency-, and quantile-based approaches. The results show that the war-induced uncertainty significantly increases the connectedness among the volatilities of global financial markets, notably in the short term, reflecting its impact on the decisions of traders. Unlike the impact of the Russo-Ukrainian war, the impact of COVID-19 is stronger and more apparent in the short, medium, and long terms. Considering various quantiles, the war considerably affects volatility connectedness at the middle quantile, whereas its impact becomes insignificant at the upper quantiles. Further analysis shows that a large increase in the uncertainty induced by the Russo-Ukrainian war can exert a significant and positive impact on the total volatility connectedness index. These findings are useful for the decision-making of traders and investors and can help policymakers formulate resourceful guidelines to deal with the adverse impact of war-induced uncertainty on financial markets.

Suggested Citation

  • Yousaf, Imran & Hunjra, Ahmed Imran & Alshater, Muneer M. & Bouri, Elie & Li, Yanshuang, 2023. "Multidimensional connectedness among the volatility of global financial markets around the Russian-Ukrainian conflict," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002342
    DOI: 10.1016/j.pacfin.2023.102163
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    Keywords

    Global financial markets; Russo-Ukrainian conflict; Complex network; Volatility; Quantile-on-Quantile Regression; Frequency and quantile connectedness;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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