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How Russian-Ukrainian geopolitical risks affect Chinese commodity and financial markets?

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  • Wang, Min
  • Su, Yuquan

Abstract

In this paper, we explore whether and how the Russian-Ukrainian conflict impact Chinese commodity and financial markets. For this purpose, we use the connectedness method based on time-varying parameter vector autoregression (TVP-VAR) model to measure the time and frequency domains dynamic connectedness among ten commodity markets and five financial markets. The empirical findings include: (i) the total connectedness increased due to the conflict, but the impact of Russia-Ukrainian conflict is weaker than that brought about by COVID-19 epidemic; (ii) the Russia-Ukrainian conflict affects the stability of Chinese commodity and financial systems mainly by affecting Chinese commodity markets, especially by increasing risks in energy, chemical and grain markets; (iii) the conflict increased short-term connectedness more and has weaker impact on long-term connectedness, and the increase in short-term connectedness is mainly attributable to the increased risk of crude oil and chemical commodities, while the increase in long-term connectedness is not only attributable to the increased risk of crude oil and chemical commodities, but also related to the increased risk of grain commodities.

Suggested Citation

  • Wang, Min & Su, Yuquan, 2023. "How Russian-Ukrainian geopolitical risks affect Chinese commodity and financial markets?," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005512
    DOI: 10.1016/j.frl.2023.104179
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    Cited by:

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    3. Cui, Jinxin & Maghyereh, Aktham, 2024. "Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress," Journal of Commodity Markets, Elsevier, vol. 33(C).
    4. Bampinas, Georgios & Panagiotidis, Theodore, 2024. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," Research in International Business and Finance, Elsevier, vol. 70(PA).

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