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Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war

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  • Hassen Raïs
  • Assen Slim

Abstract

This paper examines the impact of geopolitical conflict on the informational efficiency of financial markets. We focus on the performance of cryptocurrencies and energy stocks before and during the Russo-Ukrainian conflict to assess how their price dynamics changed in response to the 2022 shock. By analyzing long-term dependencies in both returns and volatility, we identify persistent shifts in market behavior that challenge the random walk hypothesis. Our results highlight a structural increase in price predictability and volatility persistence during conflict conditions. These findings have direct implications for forecasting strategies, portfolio allocation and arbitrage opportunities in times of geopolitical tension.

Suggested Citation

  • Hassen Raïs & Assen Slim, . "Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war," Journal of Energy Markets, Journal of Energy Markets.
    • Handle: RePEc:rsk:journ2:7963820
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