A Study on Volatility Spillovers among International Stock Markets during the Russia-Ukraine Conflict

被引：2
|
作者：
Mu, Sixu [1 ]
Huang, Guangdong [1 ]
Li, Ping [2 ]
Hou, Yun [1 ]
机构：
[1] China Univ Geosci, Sch Sci, Beijing 100083, Peoples R China
[2] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2022年 / 2022卷
基金：
中国国家自然科学基金;
关键词：
CONNECTEDNESS;
D O I：
10.1155/2022/4948444
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper analyzes the dynamic time-frequency volatility spillovers among the international stock markets during the Russian-Ukraine conflict. We use the VAR-based connectedness framework to calculate the volatility spillovers. Results show that (1) the trend of the total spillover is consistent with the time of the Russian-Ukraine conflict; (2) Russian stock market is the primary source and net exporter of risk; (3) the Russian government has effectively controlled the further spread of risk through policy adjustments; and (4) Russian stock market may generate long-run volatility spillovers among the international stock market. We add research related to the impact of the Russia-Ukraine conflict on international stock markets by analyzing the results of the volatility spillovers.
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页数：8
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