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The impact of the war in Ukraine on the idiosyncratic risk and the market risk

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  • Soliman, Alain
  • Le Saout, Erwan

Abstract

The war in Ukraine sparked risk across Europe. We investigate the impact of the Russian–Ukrainian war on the idiosyncratic risk, market portfolio volatility, and the relationship between them. The results show that the impact of the conflict on European economies is identical. The market portfolio volatility and the idiosyncratic risk increased after the outbreak. The conflict has altered the relationship between the idiosyncratic volatility and the market portfolio volatility even before its outbreak. We highlight the significance of the dynamic correlations between idiosyncratic risk and the market risk. They have been gradually falling for 4 months before the crisis.

Suggested Citation

  • Soliman, Alain & Le Saout, Erwan, 2024. "The impact of the war in Ukraine on the idiosyncratic risk and the market risk," Finance Research Letters, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012679
    DOI: 10.1016/j.frl.2023.104895
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    More about this item

    Keywords

    Idiosyncratic risk; Market portfolio volatility; Russia–Ukraine war;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions

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