Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach

Chiraz Lakhal and Imen Zorgati

International Journal of Computational Economics and Econometrics, 2025, vol. 15, issue 4, 437-457

Abstract: This study examines the influence of the Russia-Ukraine conflict on the relationship between wheat prices and the stock markets of the G7 countries, employing the DCC-GARCH model with daily data spanning from January 1, 2020, to September 29, 2023. The results reveal a significant negative shock in the dynamic conditional correlation between wheat and the stock markets analysed, particularly in France, Germany, and Italy. These findings suggest that wheat can serve as an effective tool for mitigating portfolio risk. This research sheds light on the effects of geopolitical events on the dynamics of financial markets, especially in advanced economies. The findings have important implications for both portfolio management and policy formulation. Investors in stocks and commodities may benefit from the policy insights provided by this study, which could assist them in making informed investment decisions during periods of heightened volatility.

Keywords: Russia-Ukraine war; stock market; wheat; DCC-GARCH model. (search for similar items in EconPapers)
Date: 2025
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