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The impact of the Russia-Ukraine conflict on the connectedness of financial markets

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  • Umar, Zaghum
  • Polat, Onur
  • Choi, Sun-Yong
  • Teplova, Tamara

Abstract

We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short- and long-term frequencies, respectively.

Suggested Citation

  • Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "The impact of the Russia-Ukraine conflict on the connectedness of financial markets," Finance Research Letters, Elsevier, vol. 48(C).
    • Handle: RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002252
    DOI: 10.1016/j.frl.2022.102976
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