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Consequences of the Russia-Ukraine war: evidence from DAX, ATX, and FTSEMIB

Author

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  • Florin Aliu
  • Isa Mulaj
  • Simona Hašková

Abstract

Purpose - The Russian invasion of Ukraine generated unprecedented panic in the European financial system. As expected, the European Union (EU) felt most of the negative effects of the war due to geographical proximity to Ukraine and energy dependence on Russia. This study aims to investigate the influence of Brent crude oil (BCO), Dutch Title Transfer Facility Natural Gas, and CBOE Volatility Index (VIX) on Deutscher Aktien Index (DAX), Austrian Traded Index (ATX) and Milano Indice di Borsa (FTSEMIB). The German, Austrian and Italian equity indexes were chosen due to the heavy dependence of these countries on Russian gas and oil. Design/methodology/approach - The data cover the period from November 24, 2021, to June 24, 2022, including five months of the Russia–Ukraine war. To generate the intended results, vector autoregressive, structural vector autoregressive, vector error correction model, Johansen test and Granger causality test were used. Findings - The results highlight that natural gas and the VIX carried negative effects on DAX, ATX and FTSEMIB. The BCO was expected to have influenced three selected equity indexes, while the results suggest that it was priced only in ATX. Originality/value - This research provides modest evidence for the policymakers on the systemic risk that Russian gas has for the EU equity markets. From a managerial perspective, changes in oil and gas prices are a permanently integral part of portfolio risk analysis.

Suggested Citation

  • Florin Aliu & Isa Mulaj & Simona Hašková, 2023. "Consequences of the Russia-Ukraine war: evidence from DAX, ATX, and FTSEMIB," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(3), pages 549-568, March.
    • Handle: RePEc:eme:sefpps:sef-12-2022-0555
    DOI: 10.1108/SEF-12-2022-0555
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    Citations

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    Cited by:

    1. Martínez-García, Miguel Á. & Ramos-Carvajal, Carmen & Cámara, Ángeles, 2023. "Consequences of the energy measures derived from the war in Ukraine on the level of prices of EU countries," Resources Policy, Elsevier, vol. 86(PB).
    2. Palma, Alessia & Paltrinieri, Andrea & Goodell, John W. & Oriani, Marco Ercole, 2024. "The black box of natural gas market: Past, present, and future," International Review of Financial Analysis, Elsevier, vol. 94(C).
    3. Agnus Baby & Md Aslam Mia & Anwar Allah Pitchay, 2024. "A systematic review of financial performance in the manufacturing industry," Future Business Journal, Springer, vol. 10(1), pages 1-20, December.

    More about this item

    Keywords

    Equity markets; Natural gas; Russia–Ukraine war; Brent crude oil; Volatility Index; F3; F5;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F5 - International Economics - - International Relations, National Security, and International Political Economy

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