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Reactions of Global Stock Markets to the Russia–Ukraine War: An Empirical Evidence

Author

Listed:
  • Emon Kalyan Chowdhury

    (Chittagong Independent University)

  • Iffat Ishrat Khan

    (Chittagong Independent University)

Abstract

This study measures the immediate impact of Russia–Ukraine war on the global stock markets for the first four months since Russia’s first invasion attempt on February 24, 2022. Daily closing stock indices have been used from selected stock markets of six different continents. By applying event study method, it observes mixed impact on different stock markets. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH 1,1) indicates the presence of significant volatility and leverage effect in all the markets. Regression estimates show significantly positive impact of VIX and negative impact of oil on the abnormal returns of the global stock markets. Diversifying energy supply and source, accelerating deployment of renewables and promoting electronic vehicles and machines might bring positive result for the financial market. It is expected that this research will provide policymakers, regulatory authorities, investors and all concerned stakeholders a precise guideline to handle the immediate impact of war on the stock prices and to formulate appropriate strategies to keep investment free from risk and uncertainties.

Suggested Citation

  • Emon Kalyan Chowdhury & Iffat Ishrat Khan, 2024. "Reactions of Global Stock Markets to the Russia–Ukraine War: An Empirical Evidence," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 755-778, September.
    • Handle: RePEc:kap:apfinm:v:31:y:2024:i:3:d:10.1007_s10690-023-09429-4
    DOI: 10.1007/s10690-023-09429-4
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    More about this item

    Keywords

    Stock markets; Volatility; War; Russia; Ukraine; Event study;
    All these keywords.

    JEL classification:

    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies

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