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Volatility Spillover Effects of the US, European and Chinese Financial Markets in the Context of the Russia–Ukraine Conflict

Author

Listed:
  • Mohamed Beraich

    (Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco)

  • Karim Amzile

    (Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco)

  • Jaouad Laamire

    (Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco)

  • Omar Zirari

    (Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco)

  • Mohamed Amine Fadali

    (Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco)

Abstract

The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia–Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukraine on the transmission of volatility between the American, European and Chinese stock markets using the DY methodology. The sample period for daily data is from 1 June 2019 to 1 June 2022, excluding holidays. The volatility spillover index increased during the war period, but this increase remains insignificant compared to that recorded during the COVID-19 pandemic crisis. According to the empirical results, we also found varying levels of dependence and spillover effects between the European, American and Chinese stock indices before and during the Russia–Ukraine conflict.

Suggested Citation

  • Mohamed Beraich & Karim Amzile & Jaouad Laamire & Omar Zirari & Mohamed Amine Fadali, 2022. "Volatility Spillover Effects of the US, European and Chinese Financial Markets in the Context of the Russia–Ukraine Conflict," IJFS, MDPI, vol. 10(4), pages 1-18, October.
    • Handle: RePEc:gam:jijfss:v:10:y:2022:i:4:p:95-:d:940292
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    References listed on IDEAS

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    5. Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
    6. Shen, Yiran & Feng, Qianqian & Sun, Xiaolei, 2024. "Stability and risk contagion in the global sovereign CDS market under Russia-Ukraine conflict," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    7. Robert Toth & Richard Kasa & Csaba Lentner, 2023. "Validating the Financial Literacy Index of Hungarian SMEs during the COVID-19 Pandemic and the Russian–Ukrainian War," Risks, MDPI, vol. 11(4), pages 1-19, March.

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