Impact of Volatility Spillovers upon Electric Utilities during the Russia-Ukraine Conflict

Farrukh Nawaz, Mrestyal Khan, Umar Kayani, Indry Aristianto Pradipta and Aulia Luqman Aziz
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Farrukh Nawaz: Faculty of Business Studies, Arab Open University, Riyadh, Saudi Arabia
Mrestyal Khan: Department of Management Sciences, Balochistan University of Information Technology, Engineering and Management Sciences, Quetta, Pakistan
Umar Kayani: College of Business, Al Ain University, Abu Dhabi, United Arab Emirates
Indry Aristianto Pradipta: Department of Global Business Marketing, Binus Business School Undergraduate Program, Bina Nusantara University, West Jakarta, Indonesia
Aulia Luqman Aziz: Faculty of Administrative Science, Universitas Brawijaya, Malang, Indonesia

International Journal of Energy Economics and Policy, 2024, vol. 14, issue 6, 597-604

Abstract: Considering the period of crises, the fluctuations in the stock market returns increase sharply. Consequently, volatility spillovers are observed across the equities. Thus, this paper investigates the volatility spillovers across the sector indices of the Russian economy during the ongoing Russia-Ukraine conflict (2022). For this purpose, the Diebold and Yilmaz (2012) spillover index methodology was used to model the risk spillover effects among the ten stock market sectors namely; chemicals, consumer, electric utilities, financials, metal and mining, oil and gas, telecommunications, and transport throughout February 24th, 2022-May 31st, 2023. The empirical findings showed significant volatility transmissions across the stock market sectors. Moreover, the market sectors including chemicals, electric utilities, transport, and telecommunications were the net recipients of the volatility spillovers. Meanwhile, the sectors consumer, financials, metal and mining, and oil and gas were recognized as the net transmitters. Furthermore, these findings provide useful implications for policymakers to investigate the volatility spillovers across stock market sectors, especially during times of crisis. Additionally, the empirical findings assist investors in gaining insight regarding the diversification of the investor’s portfolio assets to optimize returns, forecast possible future volatilities, and construct optimal portfolios.

Keywords: Volatility Spillovers; Russia-Ukraine Conflict; Energy Crisis; Russian Stock Market Sectors; and Oil and Gas (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2024
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