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Stock market volatility and Russia–Ukraine conflict

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  • Wu, Feng-lin
  • Zhan, Xu-dong
  • Zhou, Jia-qi
  • Wang, Ming-hui

Abstract

In this paper, we use a two-phase model to study the impact of the Russia–Ukraine conflict on stock volatility. Our results show that the conflict reduces stock volatility initially, but increases it after Russia invaded Ukraine. Then, we construct risk transmission networks of different periods to explore the changes of transmission roles. Finally, we combine the results of historical outcomes mapping and frequency decomposition analysis to investigate the impact mechanisms between the Russia–Ukraine conflict and stock volatility. We also propose a possible interpretation for the War Puzzle, namely the sustained stability of the long-term connectedness component during war shocks.

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  • 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).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pa:s154461232300291x
    DOI: 10.1016/j.frl.2023.103919
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    References listed on IDEAS

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    2. Evžen Kočenda & Michala Moravcová & Evžen Kocenda, 2024. "Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities," CESifo Working Paper Series 10889, CESifo.
    3. Kočenda, Evžen & Moravcová, Michala, 2024. "Frequency volatility connectedness and portfolio hedging of U.S. energy commodities," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Oana Panazan & Catalin Gheorghe, 2024. "Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022," Mathematics, MDPI, vol. 12(3), pages 1-22, January.
    5. Alves, P.R.L., 2024. "The Russia–Ukraine conflict and the amplitude of chaos in the prices of Natural Gas commodities," Chaos, Solitons & Fractals, Elsevier, vol. 179(C).
    6. Wang, Min & Su, Yuquan, 2023. "How Russian-Ukrainian geopolitical risks affect Chinese commodity and financial markets?," Finance Research Letters, Elsevier, vol. 56(C).
    7. Tee, Chwee-Ming & Wong, Wai-Yan & Hooy, Chee-Wooi, 2023. "Financial sanctions and global stock market reaction: Evidence from the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 58(PB).

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