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

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 wi...

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Bibliographic Details
Published in:Discrete dynamics in nature and society 2022-01, Vol.2022 (1)
Main Authors: Mu, Sixu, Huang, Guangdong, Li, Ping, Hou, Yun
Format: Article
Language:English
Subjects:
Connectivity
Coronaviruses
COVID-19
Decomposition
Disease transmission
Econometrics
International finance
Literature reviews
Propagation
Securities markets
Stock exchanges
Stock markets
Stocks
Variables
Volatility
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Summary: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.
ISSN:1026-0226
1607-887X
DOI:10.1155/2022/4948444