The impact of the Russia–Ukraine war on volatility spillovers

This paper investigates the impact of the Russia–Ukraine war on the transmission of volatility among financial markets. We first demonstrate that the Russia–Ukraine war instigates significant volatility spillovers across the stock market, currency market, commodity market, and energy market. By conducting frequency dynamic analysis, we find that the long-term responses have a predominant influence on the volatility spillovers associated with the Russia–Ukraine war. The imposition of restrictions on certain Russian banks’ access to the Society for Worldwide Interbank Financial Telecommunications (SWIFT) results in substantial and profound volatility spillovers from the ruble to other markets, and this volatility shock is mitigated after Russia’s response to the restrictions. Furthermore, we find that the intensity of the conflict leads to strong volatility spillovers from the ruble since the onset of the war, while this effect diminishes after investors realize that the war is likely to persist for an extended period.