IDEAS home Printed from https://ideas.repec.org/a/ids/ijcome/v15y2025i4p437-457.html

Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach

Author

Listed:
  • Chiraz Lakhal
  • Imen Zorgati

Abstract

This study examines the influence of the Russia-Ukraine conflict on the relationship between wheat prices and the stock markets of the G7 countries, employing the DCC-GARCH model with daily data spanning from January 1, 2020, to September 29, 2023. The results reveal a significant negative shock in the dynamic conditional correlation between wheat and the stock markets analysed, particularly in France, Germany, and Italy. These findings suggest that wheat can serve as an effective tool for mitigating portfolio risk. This research sheds light on the effects of geopolitical events on the dynamics of financial markets, especially in advanced economies. The findings have important implications for both portfolio management and policy formulation. Investors in stocks and commodities may benefit from the policy insights provided by this study, which could assist them in making informed investment decisions during periods of heightened volatility.

Suggested Citation

  • Chiraz Lakhal & Imen Zorgati, 2025. "Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 15(4), pages 437-457.
    • Handle: RePEc:ids:ijcome:v:15:y:2025:i:4:p:437-457
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=150023
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijcome:v:15:y:2025:i:4:p:437-457. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=311 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.