Spillovers among Energy Commodities and the Russian Stock Market

We examine the connectedness in the energy commodities sector and the Russian stock market over the period 2005-2020 using the variance decomposition approach. Our analysis identifies the booms and busts in the correspondence of political and war episodes that are related to spillover effects in the Russian economy, as well as the energy commodities markets. Our findings show that the Russian Oil & Gas and Metals & Mining sectors are net shock contributors of crude oil and have the highest spillovers to other Russian sectors. Furthermore, we disentangle the sources of spillovers that originated from the financial and energy commodity markets and find that a positive change in the energy commodity volatility spillover is associated with an increase in Russian geopolitical uncertainty. Finally, we show that the spread of COVID-19 increases the stock market volatility spillover, whereas it lowers the energy commodity volatility spillover.