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The impact of the Russia–Ukraine war on volatility spillovers

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  • U, Tony Sio-Chong
  • Lin, Yongjia
  • Wang, Yizhi

Abstract

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.

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  • U, Tony Sio-Chong & Lin, Yongjia & Wang, Yizhi, 2024. "The impact of the Russia–Ukraine war on volatility spillovers," International Review of Financial Analysis, Elsevier, vol. 93(C).
    • Handle: RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001261
    DOI: 10.1016/j.irfa.2024.103194
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    Cited by:

    1. Farrukh Nawaz & Mrestyal Khan & Umar Kayani & Indry Aristianto Pradipta & Aulia Luqman Aziz, 2024. "Impact of Volatility Spillovers upon Electric Utilities during the Russia-Ukraine Conflict," International Journal of Energy Economics and Policy, Econjournals, vol. 14(6), pages 597-604, November.
    2. Wojciech Grabowski & Jakub Janus, 2024. "Tail dependence in European stock markets amidst the Russo-Ukrainian war: Shifting linkages and their determinants," Working Papers REM 2024/0360, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Marina Yu. Malkina & Dmitry Yu. Rogachev, 2024. "Financial Contagion of the Russian Stock Market from the European Stock Market During the COVID-19 Pandemic," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 27-42, April.
    4. Cheng, Zishu & Li, Mingchen & Cui, Ruhong & Wei, Yunjie & Wang, Shouyang & Hong, Yongmiao, 2024. "The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    5. Naeem, Muhammad Abubakr & Senthilkumar, Arunachalam & Arfaoui, Nadia & Mohnot, Rajesh, 2024. "Mapping fear in financial markets: Insights from dynamic networks and centrality measures," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).

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    More about this item

    Keywords

    Russia–Ukraine war; Volatility spillovers; SWIFT; The ruble;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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