The impact of the war in Ukraine on the idiosyncratic risk and the market risk

Alain Soliman and Erwan Le Saout

Finance Research Letters, 2024, vol. 60, issue C

Abstract: The war in Ukraine sparked risk across Europe. We investigate the impact of the Russian–Ukrainian war on the idiosyncratic risk, market portfolio volatility, and the relationship between them. The results show that the impact of the conflict on European economies is identical. The market portfolio volatility and the idiosyncratic risk increased after the outbreak. The conflict has altered the relationship between the idiosyncratic volatility and the market portfolio volatility even before its outbreak. We highlight the significance of the dynamic correlations between idiosyncratic risk and the market risk. They have been gradually falling for 4 months before the crisis.

Keywords: Idiosyncratic risk; Market portfolio volatility; Russia–Ukraine war (search for similar items in EconPapers)
JEL-codes: F51 G11 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012679

DOI: 10.1016/j.frl.2023.104895

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