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

Author

Listed:
  • Sixu Mu
  • Guangdong Huang
  • Ping Li
  • Yun Hou
  • Filippo Cacace

Abstract

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.

Suggested Citation

  • Sixu Mu & Guangdong Huang & Ping Li & Yun Hou & Filippo Cacace, 2022. "A Study on Volatility Spillovers among International Stock Markets during the Russia-Ukraine Conflict," Discrete Dynamics in Nature and Society, Hindawi, vol. 2022, pages 1-8, October.
    • Handle: RePEc:hin:jnddns:4948444
    DOI: 10.1155/2022/4948444
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    Cited by:

    1. Lei, Lei & Aziz, Ghazala & Sarwar, Suleman & Waheed, Rida & Tiwari, Aviral Kumar, 2023. "Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war," Resources Policy, Elsevier, vol. 85(PA).
    2. Wu, Feng-lin & Zhan, Xu-dong & Zhou, Jia-qi & Wang, Ming-hui, 2023. "Stock market volatility and Russia–Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).

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