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Russia–Ukraine Conflict, Commodities and Stock Market: A Quantile VAR Analysis

Author

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  • Alberto Manelli

    (Department of Management, Polytechnic University of Marche, Piazzale Martelli 8, 60121 Ancona, Italy)

  • Roberta Pace

    (Department of Industrial and Information Engineering and Economics, University of L’Aquila, Via G. Mezzanotte, 67100 L’Aquila, Italy)

  • Maria Leone

    (Department of Management, Polytechnic University of Marche, Piazzale Martelli 8, 60121 Ancona, Italy)

Abstract

The Russia–Ukrainian war, which began in 2014 and exploded with the invasion of the Russian army on 24 February 2022, has profoundly destabilized the political, economic and financial balance of Europe and beyond. To the humanitarian emergency associated with every war has been added the deep crisis generated by the strong energy and food dependence that many European countries, and not only European, have developed over decades on Ukraine (especially for wheat) and Russia (especially for natural gas). The aim of this article is to verify the existence of a link between the performance of the Eurostoxx index and the price of wheat futures and TTF natural gas, from 25 February 2019 to 28 September 2023. Through a quantile VAR analysis, a link is sought between the Eurostoxx 50 index, and wheat and TTF gas futures prices. Furthermore, the analysis intends to understand whether the presence of such relationship only manifested itself following the war events, or whether it was already present in the market. The analysis carried out also shows that the relationship between the stock market and raw material prices was present even before the conflict.

Suggested Citation

  • Alberto Manelli & Roberta Pace & Maria Leone, 2024. "Russia–Ukraine Conflict, Commodities and Stock Market: A Quantile VAR Analysis," JRFM, MDPI, vol. 17(1), pages 1-11, January.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:29-:d:1317363
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    References listed on IDEAS

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    1. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," Economic Modelling, Elsevier, vol. 32(C), pages 15-22.
    2. Tosun, Onur Kemal & Eshraghi, Arman, 2022. "Corporate decisions in times of war: Evidence from the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 48(C).
    3. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Yaya, OlaOluwa S. & Al-Faryan, Mamdouh Abdulaziz Saleh, 2022. "Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga," Resources Policy, Elsevier, vol. 77(C).
    4. Pat Obi & Freshia Waweru & Moses Nyangu, 2023. "An Event Study on the Reaction of Equity and Commodity Markets to the Onset of the Russia–Ukraine Conflict," JRFM, MDPI, vol. 16(5), pages 1-16, April.
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    Cited by:

    1. Panayotis G. Papaioannou & George P. Papaioannou & George Evangelidis & George Gavalakis, 2024. "Detecting Structural breakpoints in natural gas and electricity wholesale prices via Bayesian ensemble approach, in the era of energy prices turmoil of 2022 period: the cases of ten European markets," Papers 2410.07224, arXiv.org.
    2. E. M. Ekanayake, 2024. "Commodity Prices and the Brazilian Stock Market: Evidence from a Structural VAR Model," Commodities, MDPI, vol. 3(4), pages 1-22, December.

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