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Economic sanctions sentiment and global stock markets

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  • Abakah, Emmanuel Joel Aikins
  • Abdullah, Mohammad
  • Yousaf, Imran
  • Kumar Tiwari, Aviral
  • Li, Yanshuang

Abstract

This study explores the impact of Russia-Ukraine war and sanctions news sentiments (RUWESsent) on global equity markets using three robust estimators. The quantile-on-quantile regression (QQR) results show that RUWESsent has heterogeneous effects on stock returns. The rolling window wavelet correlation (RWWC) indicates a time-varying influence on the G10 stock market. The results of the time–frequency quantile VAR (TF-QVAR) approach show a time-varying and heterogeneous connectedness. Moreover, RUWESsent acts as the net shock transmitter across extreme quantiles. These results give investors, regulators, and policymakers valuable insights into geopolitical events.

Suggested Citation

  • Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Yousaf, Imran & Kumar Tiwari, Aviral & Li, Yanshuang, 2024. "Economic sanctions sentiment and global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    • Handle: RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001786
    DOI: 10.1016/j.intfin.2023.101910
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    More about this item

    Keywords

    Russia-Ukraine war; Economic sanctions; News sentiments; Global equity markets; Geopolitical conflict;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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