The impact of the Russian-Ukrainian war on global financial markets

Izzeldin, Marwan; Muradoğlu, Yaz Gülnur; Pappas, Vasileios; Petropoulou, Athina; Sivaprasad, Sheeja

Abstract

On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.

Citation

Izzeldin, M., Muradoğlu, Y. G., Pappas, V., Petropoulou, A., & Sivaprasad, S. (2023). The impact of the Russian-Ukrainian war on global financial markets. International Review of Financial Analysis, 87, Article 102598. https://doi.org/10.1016/j.irfa.2023.102598

• Journal Article Type: Article
• Acceptance Date: Feb 14, 2023
• Publication Date: May 1, 2023
• Deposit Date: Mar 28, 2023
• Publicly Available Date: Mar 28, 2023
• Journal: International Review of Financial Analysis
• Print ISSN: 1057-5219
• Electronic ISSN: 1873-8079
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 87
• Article Number: 102598
• DOI: https://doi.org/10.1016/j.irfa.2023.102598
• Keywords: Ukraine war, Financial markets, HAR, Markov switching, Commodities
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S105752192300114X