How has the relationship between major financial markets changed during the Russia–Ukraine conflict?

Geopolitics events have a significant impact on financial markets in the process of global economic integration and financial liberalization. Focusing on the 2022 Russia-Ukraine conflict, this paper utilizes the TVP-VAR network connectedness approach to investigate its specific impacts on the connectedness of major global financial markets. It examines the dynamic evolution of high-frequency and low-frequency shocks on market correlations during the pre-conflict, initial, and stalemate stages, revealing the changes in risk transmission paths. Findings show that the conflict led to increased market interconnectedness. Low-frequency became a major part of the total spillover, signaling long-term structural changes. The stock and foreign exchange market initially responded swiftly, serving as starting points for risk diffusion. The commodity market has been risk receivers throughout the conflict period. Intra-market and cross-market linkages have also changed. The German stock market was the main source of risk spillovers in the conflict, influencing international market linkages. In the global financial market network, several stock markets were the primary risk transmitters in the early stage of the conflict, while foreign exchange markets took on this role during the stalemate period. In addition, gold continues to play a safe-haven role. Furthermore, the TVP-VAR model is used to quantitatively assess the extent of the impact of the conflict on the spillover effects of major global financial markets at different time points and lags. Based on these findings, this paper constructs diversified portfolios and proposes a series of targeted risk management recommendations, which provide a theoretical basis for future policy formulation under similar crises.