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.
引用
收藏
页数：8
相关论文
共 50 条
  • [41] Russia-Ukraine War: An Intractable Conflict?
    Peralta, Jorge Contreras
    CIENCIA POLITICA, 2023, 18 (36): : 113 - 148
  • [42] Spillovers of international interest rate swap markets and stock market volatility
    Lee, Hsiu-Chuan
    Hsu, Chih-Hsiang
    Chien, Cheng-Yi
    MANAGERIAL FINANCE, 2016, 42 (10) : 943 - 962
  • [43] Conflict Transformation and the Russia-Ukraine Crisis
    Giessmann, Hans J.
    INTERNATIONAL CRISIS MANAGEMENT: NATO, EU, OSCE AND CIVIL SOCIETY: COLLECTED ESSAYS ON BEST PRACTICES AND LESSONS LEARNED, 2016, 127 : 14 - 23
  • [44] International Information Spillovers and Asymmetric Volatility in South Asian Stock Markets
    Gajurel, Dinesh
    Chawla, Akhila
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (10)
  • [45] Regional and periodic asymmetries in the effect of Russia-Ukraine war on global stock markets
    Mishra, Anand Kumar
    Ansari, Yasmeen
    Bansal, Rohit
    Maurya, Prince Kumar
    HELIYON, 2024, 10 (07)
  • [46] Impact of the Russia-Ukraine Conflict on International Staple Agrifood Trade Networks
    Zhang, Yin-Ting
    Li, Mu-Yao
    Zhou, Wei-Xing
    FOODS, 2024, 13 (13)
  • [47] Retrieving false claims on Twiter during the Russia-Ukraine conflict
    La Gatta, Valerio
    Wei, Chiyu
    Luceri, Luca
    Pierri, Francesco
    Ferrara, Emilio
    COMPANION OF THE WORLD WIDE WEB CONFERENCE, WWW 2023, 2023, : 1317 - 1323
  • [48] Topic Modeling in Telegram Channels During the Russia-Ukraine Conflict
    Tretiakov, Arsenii
    D'Antonio-Maceiras, Sergio
    Martin, Alejandro
    INTELLIGENT DATA ENGINEERING AND AUTOMATED LEARNING - IDEAL 2024, PT I, 2025, 15346 : 493 - 504
  • [49] Evolutionary game on international energy trade under the Russia-Ukraine conflict
    Xin, Baogui
    Zhang, Mengwei
    ENERGY ECONOMICS, 2023, 125
  • [50] Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6
    Chancharat, Surachai
    Sinlapates, Parichat
    FINANCE RESEARCH LETTERS, 2023, 57
12345